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.

引用

页数：14

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