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A Hybrid Approach for Studying the Lead-Lag Relationships Between China's Onshore and Offshore Exchange Rates Considering the Impact of Extreme Events
Wei, Yunjie1,2,3; Wei, Qi4,5; Wang, Shouyang1,2; Lai, Kin Keung6,7
2018-06-01
Source PublicationJOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
ISSN1009-6124
Volume31Issue:3Pages:734-749
AbstractUnderstanding the characteristics of the dynamic relationship between the onshore Renminbi (CNY) and the offshore Renminbi (CNH) exchange rates considering the impact of some extreme events is very important and it has wide implications in several areas such as hedging. For better estimating the dynamic relationship between CNY and CNH, the Granger-causality test and Bry-Boschan Business Cycle Dating Algorithm were employed in this paper. Due to the intrinsic complexity of the lead-lag relationships between CNY and CNH, the empirical mode decomposition (EMD) algorithm is used to decompose those time series data into several intrinsic mode function (IMF) components and a residual sequence, from high to low frequency. Based on the frequencies, the IMFs and a residual sequence are combined into three components, identified as short-term composition caused by some market activities, medium-term composition caused by some extreme events and the long-term trend. The empirical results indicate that when it only matters the short-term market activities, CNH always leads CNY; while the medium-term impact caused by those extreme events may alternate the lead-lag relationships between CNY and CNH.
KeywordCNH CNY EMD lead-lag relationship onshore and offshore markets
DOI10.1007/s11424-017-6281-7
Language英语
Funding ProjectNational Natural Science Foundation of China[71390330] ; National Natural Science Foundation of China[71390331] ; National Natural Science Foundation of China[71390335] ; National Nature Science Foundation of China ; Postdoctorate Programme of Centre University of Economics and Finance ; Postodctorate Programme of China Great Wall Asset Management Corporation
WOS Research AreaMathematics
WOS SubjectMathematics, Interdisciplinary Applications
WOS IDWOS:000429119000009
PublisherSPRINGER HEIDELBERG
Citation statistics
Cited Times:2[WOS]   [WOS Record]     [Related Records in WOS]
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/30048
Collection系统科学研究所
Affiliation1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
2.Chinese Acad Sci, Ctr Forecasting Sci, Beijing 100190, Peoples R China
3.City Univ Hong Kong, Dept Management Sci, Hong Kong, Hong Kong, Peoples R China
4.Cent Univ Finance & Econ, Sch Finance, Beijing 100081, Peoples R China
5.China Great Wall Asset Management Corp, Beijing 100045, Peoples R China
6.Shaanxi Normal Univ, Int Business Sch, Xian 710119, Shaanxi, Peoples R China
7.Univ Hong Kong, Dept Ind & Mfg Syst Engn, Hong Kong, Hong Kong, Peoples R China
Recommended Citation
GB/T 7714
Wei, Yunjie,Wei, Qi,Wang, Shouyang,et al. A Hybrid Approach for Studying the Lead-Lag Relationships Between China's Onshore and Offshore Exchange Rates Considering the Impact of Extreme Events[J]. JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,2018,31(3):734-749.
APA Wei, Yunjie,Wei, Qi,Wang, Shouyang,&Lai, Kin Keung.(2018).A Hybrid Approach for Studying the Lead-Lag Relationships Between China's Onshore and Offshore Exchange Rates Considering the Impact of Extreme Events.JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,31(3),734-749.
MLA Wei, Yunjie,et al."A Hybrid Approach for Studying the Lead-Lag Relationships Between China's Onshore and Offshore Exchange Rates Considering the Impact of Extreme Events".JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY 31.3(2018):734-749.
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