- Main
The offshore renminbi exchange rate: Microstructure and links to the onshore market
Published Web Location
https://doi.org/10.1016/j.jimonfin.2014.05.012Abstract
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.
Many UC-authored scholarly publications are freely available on this site because of the UC's open access policies. Let us know how this access is important for you.
Main Content
Enter the password to open this PDF file:
-
-
-
-
-
-
-
-
-
-
-
-
-
-