The offshore renminbi exchange rate : Microstructure and links to the onshore market
Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › Not applicable › peer-review
Author(s)
Related Research Unit(s)
Detail(s)
| Original language | English |
|---|---|
| Pages (from-to) | 170-189 |
| Journal / Publication | Journal of International Money and Finance |
| Volume | 49 |
| Issue number | PA |
| Early online date | 20 May 2014 |
| Publication status | Published - Dec 2014 |
Link(s)
Abstract
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 (CNY). 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 has an increasing impact on the onshore rate CNY, and significant predictive power for the official RMB central parity rate. The CNH order flow also affects the onshore RMB exchange rate and the central parity rate. The interactions between variables are likely to be time-varying.
Research Area(s)
- Central parity rate, CNH, CNY, Foreign exchange market microstructure, Limit-order imbalance, Order flow
Citation Format(s)
The offshore renminbi exchange rate : Microstructure and links to the onshore market. / Cheung, Yin-Wong; Rime, Dagfinn.
In: Journal of International Money and Finance, Vol. 49, No. PA, 12.2014, p. 170-189.Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › Not applicable › peer-review
