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The emergence of the RMB : a "New Normal" for China's exchange rate system?
Kunze, Frederik; Basse, Tobias; Wegener, Christoph; … - 2018
We investigate RMB pricing differentials for onshore and offshore trading. Testing for long memory, we find strong persistence in the pricing differential. Hence, the Chinese FX market in its bipolar structure still lacks basic conditions for perfectly integrated markets.
Persistent link: https://www.econbiz.de/10011847444
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The onshore-offshore interaction of RMB market: a high-frequency analysis
Liu, Tao - Volkswirtschaftliche Fakultät, … - 2014
With 10-minute data from Nov 2014 to Jan 2015, a threshold autoregression (TAR) model is estimated to assess the exchange rate differential between onshore and offshore RMB market, and the following result is in order. (i) The threshold effect is verifed during sample period, around 40 bps on...
Persistent link: https://www.econbiz.de/10011271327
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The Offshore Renminbi Exchange Rate: Microstructure and Links to the Onshore Market
Cheung, Yin-Wong; Rime, Dagfinn - 2014
The offshore renminbi (CNH) exchange rate is the exchange rate of the Chinese currency transacted outside China. We … study the CNH exchange rate dynamics and its links with onshore exchange rates. Using a specialized microstructure dataset …, we find that CNH is significantly affected by its order flow and limit-order imbalance. The offshore CNH exchange rate …
Persistent link: https://www.econbiz.de/10010398519
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The offshore renminbi exchange rate: Microstructure and links to the onshore market
Cheung, Yin-Wong; Rime, Dagfinn - 2014
The offshore renminbi (CNH) exchange rate is the exchange rate of the Chinese currency transacted outside China. We … study the CNH exchange rate dynamics and its links with onshore exchange rates. Using a specialized microstructure dataset …, we find that CNH is significantly affected by its order flow and limit-order imbalance. The offshore CNH exchange rate …
Persistent link: https://www.econbiz.de/10012148734
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The offshore renminbi exchange rate : microstructure and links to the onshore market
Cheung, Yin-Wong; Rime, Dagfinn - 2014
The offshore renminbi (CNH) exchange rate is the exchange rate of the Chinese currency transacted outside China. We … study the CNH exchange rate dynamics and its links with onshore exchange rates. Using a specialized microstructure dataset …, we find that CNH is significantly affected by its order flow and limit-order imbalance. The offshore CNH exchange rate …
Persistent link: https://www.econbiz.de/10010367171
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The offshore renminbi exchange rate: Microstructure and links to the onshore market
Cheung, Yin-Wong; Rime, Dagfinn - Siirtymätalouksien tutkimuslaitos, Suomen Pankki - 2014
The offshore renminbi (CNH) exchange rate is the exchange rate of the Chinese currency transacted outside China. We … study the CNH exchange rate dynamics and its links with onshore exchange rates. Using a specialized microstructure dataset …, we find that CNH is significantly affected by its order flow and limit-order imbalance. The offshore CNH exchange rate …
Persistent link: https://www.econbiz.de/10010945008
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The offshore renminbi exchange rate: Microstructure and links to the onshore market
Cheung, Yin-Wong; Rime, Dagfinn - In: Journal of International Money and Finance 49 (2014) PA, pp. 170-189
study the CNH exchange rate dynamics and its links with onshore exchange rates (CNY). Using a specialized microstructure …The offshore renminbi (CNH) exchange rate is the exchange rate of the Chinese currency transacted outside China. We … dataset, we find that CNH is significantly affected by its order flow and limit-order imbalance. The offshore CNH exchange …
Persistent link: https://www.econbiz.de/10011077097
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The Offshore Renminbi Exchange Rate: Microstructure and Links to the Onshore Market
Cheung, Yin-Wong; Rime, Dagfinn - CESifo - 2014
The offshore renminbi (CNH) exchange rate is the exchange rate of the Chinese currency transacted outside China. We … study the CNH exchange rate dynamics and its links with onshore exchange rates. Using a specialized microstructure dataset …, we find that CNH is significantly affected by its order flow and limit-order imbalance. The offshore CNH exchange rate …
Persistent link: https://www.econbiz.de/10010786745
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The Emergence of the RMB : A 'New Normal' for China's Exchange Rate System?
Kunze, Frederik - 2018
We investigate RMB pricing differentials for onshore and offshore trading. Testing for long memory, we find strong persistence in the pricing differential. Hence, the Chinese FX market in its bipolarstructure still lacks basic conditions for perfectly integrated markets
Persistent link: https://www.econbiz.de/10012918398
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The linkage between Bitcoin and foreign exchanges in developed and emerging markets
BenSaïda, Ahmed - In: Financial innovation : FIN 9 (2023) 1, pp. 1-27
This study investigates the connectedness between Bitcoin and fiat currencies in two groups of countries: the developed G7 and the emerging BRICS. The methodology adopts the regular (R)-vine copula and compares it with two benchmark models: the multivariate t copula and the dynamic conditional...
Persistent link: https://www.econbiz.de/10014288956