The impact of offshore exchange rate expectations on onshore exchange rates: The case of Chinese RMB

被引：8
|
作者：
Jia, Fei [1 ]
Shen, Yao [2 ]
Ren, Junfan [2 ]
Xu, Xiangyun [2 ]
机构：
[1] Jilin Univ Finance & Econ, Sch Stat, Changchun 130117, Peoples R China
[2] Nanjing Univ Finance & Econ, Sch Int Econ & Business, Nanjing 210023, Peoples R China
来源：
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE | 2021年 / 56卷
关键词：
RMB offshore market; RMB onshore market; Exchange rate expectations; Threshold effect; RENMINBI; ASIA; CURRENCY; MARKETS; DYNAMICS; POLICY;
D O I：
10.1016/j.najef.2020.101349
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper examines the impact of offshore RMB exchange rate expectations on onshore RMB (CNY) exchange rates. Employing data for the period of 2005-2018, we show that overall offshore market expectations influence onshore RMB rates, but this effect is significant only for the period after the "Second exchange rate regime reform" in 2010. The non-uniform nature of this impact is also confirmed by the existence of a threshold effect of the expectations in the same period. The study improves our understanding of how the offshore RMB market influences onshore RMB spot rates as a result of the marketization reform of the RMB exchange rate regime.
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收藏
页数：14
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