Understanding the characteristics of the dynamic relationship between the onshore Ren- minbi （CNY） and the offshore Renminbi （CNH） exchange rates considering the impact of some extreme events is very important and...Understanding the characteristics of the dynamic relationship between the onshore Ren- minbi （CNY） and the offshore Renminbi （CNH） exchange rates considering the impact of some extreme events is very important and it has wide implications in several areas such as hedging. For better esti- mating the dynamic relationship between CNY and CNH, the Granger-causality test and Bry-Boschan Business Cycle Dating Algorithm were employed in this paper. Due to the intrinsic complexity of the lead-lag relationships between CNY and CNH, the empirical mode decomposition （EMD） algorithm is used to decompose those time series data into several intrinsic mode function （IMF） components and a residual sequence, from high to low frequency. Based on the frequencies, the IMFs and a residual sequence are combined into three components, identified as short-term composition caused by some market activities, medium-term composition caused by some extreme events and the long-term trend.The empirical results indicate that when it only matters the short-term market activities, CNH always leads CNY; while the medium-term impact caused by those extreme events may alternate the lead-lag relationships between CNY and CNH.展开更多
This paper analyzes the stability and marketization of the RMB exchange rate after China introduced the foreign exchange rate reform by linking the RMB exchange rate with the offshore and onshore markets on August 11,...This paper analyzes the stability and marketization of the RMB exchange rate after China introduced the foreign exchange rate reform by linking the RMB exchange rate with the offshore and onshore markets on August 11,2015(“8/11”).Under the framework of dynamic analysis,through Granger causality test,VAR model and DCC-MVGARCH model,the empirical analysis is conducted about the three market exchange rate linkages of CNY,NDF and CNH from May 2012 to December 2018.Then,the direction and degree of the linkage between the RMB’s offshore and onshore exchange rates before and after the“8/11”exchange rate reform are compared.The research results show that:(1)since the“8/11”exchange rate reform,the RMB exchange rate has become more flexible;(2)the price-determining power of the RMB exchange rate may be weakened,and policy adjustment should take effect;and(3)the prerequisites,under which the offshore market can play a role,are the development of the market itself.This paper proposes that:(1)the onshore and offshore markets should develop in a collaborative manner to further increase exchange rate elasticity and flexibility;(2)close attention should be paid to the relationship between the offshore and onshore markets,and policy determination and flexibility should be maintained;and(3)the offshore market should be improved and play a due role.展开更多
基金partially supported by the National Natural Science Foundation of China under Grant Nos.71390330,71390331,71390335the National Nature Science Foundation of China for financial support to this study+1 种基金supported by the Postdoctorate Programme of Centre University of Economics and Financethe Postodctorate Programme of China Great Wall Asset Management Corporation
文摘Understanding the characteristics of the dynamic relationship between the onshore Ren- minbi （CNY） and the offshore Renminbi （CNH） exchange rates considering the impact of some extreme events is very important and it has wide implications in several areas such as hedging. For better esti- mating the dynamic relationship between CNY and CNH, the Granger-causality test and Bry-Boschan Business Cycle Dating Algorithm were employed in this paper. Due to the intrinsic complexity of the lead-lag relationships between CNY and CNH, the empirical mode decomposition （EMD） algorithm is used to decompose those time series data into several intrinsic mode function （IMF） components and a residual sequence, from high to low frequency. Based on the frequencies, the IMFs and a residual sequence are combined into three components, identified as short-term composition caused by some market activities, medium-term composition caused by some extreme events and the long-term trend.The empirical results indicate that when it only matters the short-term market activities, CNH always leads CNY; while the medium-term impact caused by those extreme events may alternate the lead-lag relationships between CNY and CNH.
基金supported by the National Social Science Foundation Project"BRICS Bank Mutual Benefit and Win-Win Cooperation Model and Risk Prevention Mechanism Research"(15BJL077).
文摘This paper analyzes the stability and marketization of the RMB exchange rate after China introduced the foreign exchange rate reform by linking the RMB exchange rate with the offshore and onshore markets on August 11,2015(“8/11”).Under the framework of dynamic analysis,through Granger causality test,VAR model and DCC-MVGARCH model,the empirical analysis is conducted about the three market exchange rate linkages of CNY,NDF and CNH from May 2012 to December 2018.Then,the direction and degree of the linkage between the RMB’s offshore and onshore exchange rates before and after the“8/11”exchange rate reform are compared.The research results show that:(1)since the“8/11”exchange rate reform,the RMB exchange rate has become more flexible;(2)the price-determining power of the RMB exchange rate may be weakened,and policy adjustment should take effect;and(3)the prerequisites,under which the offshore market can play a role,are the development of the market itself.This paper proposes that:(1)the onshore and offshore markets should develop in a collaborative manner to further increase exchange rate elasticity and flexibility;(2)close attention should be paid to the relationship between the offshore and onshore markets,and policy determination and flexibility should be maintained;and(3)the offshore market should be improved and play a due role.
