A Hybrid Approach for Studying the Lead-Lag Relationships Between China's Onshore and Offshore Exchange Rates Considering the Impact of Extreme Events

doi:10.1007/s11424-017-6281-7

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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, Qi 4,5; Wang, Shouyang1,2 ; Lai, Kin Keung 6,7
	2018-06-01
发表期刊	JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
ISSN	1009-6124
卷号	31 期号:3 页码:734-749
摘要	Understanding 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.
关键词	CNH CNY EMD lead-lag relationship onshore and offshore markets
DOI	10.1007/s11424-017-6281-7
语种	英语
资助项目	National 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研究方向	Mathematics
WOS类目	Mathematics, Interdisciplinary Applications
WOS记录号	WOS:000429119000009
出版者	SPRINGER HEIDELBERG
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/30048
专题	系统科学研究所
通讯作者	Wang, Shouyang
作者单位	1.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
推荐引用方式 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.