Purpose: Using a discrete-time version of the arbitrage-free Nelson–Siegel (AFNS) term structure model, the authors examine how yield curves in the US and China react to exchange rate policy shocks as China introduces gradual reforms to make its exchange rate regime more flexible. The paper...

We propose the use of a local autoregressive (LAR) model for adaptive estimation and forecasting of three of China's key macroeconomic variables: GDP growth, inflation and the 7-day interbank lending rate. The approach takes into account possible structural changes in the data-generating process...

We estimate a time-varying regression model to study the relationship between returns in the Shanghai and New York stock markets, with possible inclusion of lagged returns. The parameters of the regressions reveal that the effect of the current stock return for New York on that for Shanghai...

We employ Bayesian method to estimate a time-varying coefficient version of the de facto currency basket model of Frankel and Wei (2007) for the RMB of China, using daily data from February 2005 to July 2011. We estimate jointly the implicit time-varying weights of all 11 currencies in the...

We propose the use of a local autoregressive (LAR) model for adaptive estimation and forecasting of three of China's key macroeconomic variables: GDP growth, inflation and the 7-day interbank lending rate. The approach takes into account possible structural changes in the data-generating process...

We model the term structure of implied volatility (TSIV) with an adaptive approach to improve predictability, which treats dynamic time series models of globally time- varying but locally constant parameters and uses a data-driven procedure to ?nd the local optimal interval. We choose two...