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

被引：46

作者：

Cheung, Yin-Wong ^{[1
]}

Rime, Dagfinn ^{[2
,3
]}

机构：

[1] City Univ Hong Kong, Dept Econ & Finance, Hong Kong, Hong Kong, Peoples R China

[2] Norges Bank, Res Dept, Oslo, Norway

[3] BI Norwegian Business Sch, Oslo, Norway

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2014年 / 49卷

关键词：

Foreign exchange market microstructure; Order flow; Limit-order imbalance; CNH; CNY; Central parity rate; RATE MODELS; ORDER FLOW; COINTEGRATION; DYNAMICS; CHINA; FIT;

D O I：

10.1016/j.jimonfin.2014.05.012

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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. (C) 2014 Elsevier Ltd. All rights reserved.

引用

页码：170 / 189

页数：20

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