The offshore renminbi exchange rate : Microstructure and links to the onshore market

Research output: Journal Publications and ReviewsRGC 21 - Publication in refereed journalpeer-review

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Original languageEnglish
Pages (from-to)170-189
Journal / PublicationJournal of International Money and Finance
Issue numberPA
Online published20 May 2014
Publication statusPublished - Dec 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 (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