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The Two-pillar policy for the RMB
Jermann, Urban J.; Wei, Bin; Yue, Vivian Z. - 2019
We document stylized facts about China's recent exchange rate policy for its currency, the renminbi (RMB). Our …
Persistent link: https://www.econbiz.de/10011997655
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Nonlinear time series and neural-network models of exchange rates between the US Dollar and major currencies
Allen, David E.; McAleer, Michael; Peiris, Shelton; … - 2015
This paper features an analysis of major currency exchange rate movements in relation to the US dollar, as constituted in US dollar terms. Euro, British pound, Chinese yuan, and Japanese yen are modelled using a variety of non-linear models, including smooth transition regression models,...
Persistent link: https://www.econbiz.de/10011378229
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Nonlinear time series and neural-network models of echange rates between the US Dollar and major currencies
Allen, David E.; McAleer, Michael; Peiris, Shelton; … - In: Risks : open access journal 4 (2016) 1, pp. 1-14
This paper features an analysis of major currency exchange rate movements in relation to the US dollar, as constituted in US dollar terms. Euro, British pound, Chinese yuan, and Japanese yen are modelled using a variety of non-linear models, including smooth transition regression models,...
Persistent link: https://www.econbiz.de/10011443686
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Macro Announcements and Volatilities of the Renminbi Onshore and Offshore Exchange Rates
Lin, Zhitao - 2020
We examine how Chinese and US macro announcements affect the volatilities of Chinese renminbi (RMB) onshore (CNY) and … offshore (CNH) exchange rates. We find that RMB exchange rates will generally become more stable if either China or US display … better economic performance than expectation and otherwise more volatile if China or US fundamentals perform worse than …
Persistent link: https://www.econbiz.de/10012838163
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The Renminbi Central Parity : An Empirical Investigation
Cheung, Yin-Wong - 2018
On August 11, 2015, China revamped its procedure for setting the official central parity of the renminbi (RMB) against … the US dollar. Our empirical investigation suggests that the intertemporal dynamics of China's central parity shifted … no evidence of a rate-fixing role for the RMB exchange rate against the currency basket announced by China in December …
Persistent link: https://www.econbiz.de/10012935986
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Cross-Correlations between Chinese Renminbi Onshore- and Offshore-Markets : A MF-DCCA Approach
Lu, Xinsheng - 2015
Chinese Renminbi (RMB) onshore and offshore markets. The dataset consists of 2,137 closing daily prices of exchange rates from …
Persistent link: https://www.econbiz.de/10013012571
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Capital Controls and the Volatility of the Renminbi Covered Interest Deviation
Lin, Zhitao - 2019
Abstract: We examine how China's capital controls affect the volatility of the renminbi (RMB) covered interest …
Persistent link: https://www.econbiz.de/10012859198
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The Renminbi Central Parity : An Empirical Investigation
Cheung, Yin-Wong - 2016
On August 11 2015, China revamped its procedure of setting the official central parity of the renminbi (RMB) against … the US dollar. Our empirical investigation shows that the intertemporal dynamics of China's central parity are not the … for the RMB exchange rate against the currency basket revealed by China in December 2015 in the fixing process …
Persistent link: https://www.econbiz.de/10012986235
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Can Offshore Markets Beat Random Walk? An Evaluation of the Out-of-Sample RMB Exchange Rate Predictability
Chen, Sichong - 2016
This study evaluates the in-sample and out-of-sample RMB exchange rate forecasting with a predictor of CNH-CNY pricing differential. Despite significant evidence of in-sample fit of conditional models at short horizons, we find that RMB exchange rate forecasts based on CNH-CNY spreads do not...
Persistent link: https://www.econbiz.de/10012989017
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The Renminbi Central Parity : An Empirical Investigation
Cheung, Yin-Wong; Hui, Cho-Hoi; Tsang, Andrew - 2021
On August 11, 2015, China revamped its procedure for setting the official central parity of the renminbi (RMB) against … the US dollar. Our empirical investigation suggests that the intertemporal dynamics of China’s central parity shifted … no evidence of a rate-fixing role for the RMB exchange rate against the currency basket announced by China in December …
Persistent link: https://www.econbiz.de/10013315458