ahybridapproachforstudyingtheleadlagrelationshipsbetweenchinasonshoreandoffshoreexchangeratesconsideringtheimpactofextremeevents

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	ahybridapproachforstudyingtheleadlagrelationshipsbetweenchinasonshoreandoffshoreexchangeratesconsideringtheimpactofextremeevents
	Wei Yunjie1 ; Wei Qi 2; Wang Shouyang1 ; Lai Kin Keung 3
	2018
发表期刊	journalofsystemsscienceandcomplexity
ISSN	1009-6124
卷号	31 期号:3 页码:734
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.
语种	英语
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/38530
专题	系统科学研究所
作者单位	1.中国科学院数学与系统科学研究院 2.School of Finance,Central University of Finance and Economics 3.International Business School,Shaanxi Normal University
推荐引用方式 GB/T 7714	Wei Yunjie,Wei Qi,Wang Shouyang,et al. ahybridapproachforstudyingtheleadlagrelationshipsbetweenchinasonshoreandoffshoreexchangeratesconsideringtheimpactofextremeevents[J]. journalofsystemsscienceandcomplexity,2018,31(3):734.
APA	Wei Yunjie,Wei Qi,Wang Shouyang,&Lai Kin Keung.(2018).ahybridapproachforstudyingtheleadlagrelationshipsbetweenchinasonshoreandoffshoreexchangeratesconsideringtheimpactofextremeevents.journalofsystemsscienceandcomplexity,31(3),734.
MLA	Wei Yunjie,et al."ahybridapproachforstudyingtheleadlagrelationshipsbetweenchinasonshoreandoffshoreexchangeratesconsideringtheimpactofextremeevents".journalofsystemsscienceandcomplexity 31.3(2018):734.