Is the Renminbi a safe haven?

被引：18

作者：

Fatum, Rasmus ^{[1
,3
,4
,5
]}

Yamamoto, Yohei ^{[2
]}

Zhu, Guozhong ^{[1
]}

机构：

[1] Univ Alberta, Sch Business, Edmonton, AB T6G 2R6, Canada

[2] Hitotsubashi Univ, Dept Econ, 2-1 Naka, Kunitachi, Tokyo 1868601, Japan

[3] Fed Reserve Bank Dallas, Dallas, TX USA

[4] Univ Copenhagen, EPRU, Copenhagen, Denmark

[5] TCER, Tokyo, Japan

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2017年 / 79卷

关键词：

Renminbi; Safe Haven Currencies; TIME-SERIES; CURRENCY; REGRESSION; ASIA;

D O I：

10.1016/j.jimonfin.2017.09.010

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We investigate the relationship between market uncertainty and the relative value of the Renminbi in the offshore market against currencies that the safe haven literature typically considers as the traditional safe haven currency candidates. Our sample spans the February 2011 to May 2017 period. Band spectral regression models enable us to capture that the relationship between market uncertainty and the relative value of the Renminbi is frequency dependent. While we find evidence of some degree of safe haven currency behavior of the Renminbi during the early part of our sample, our findings do not support the suggestion that the Renminbi is currently a safe haven currency or that the Renminbi is progressing towards safe haven currency status. (C) 2017 Elsevier Ltd. All rights reserved.

引用

页码：189 / 202

页数：14

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