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ahybridapproachforstudyingtheleadlagrelationshipsbetweenchinasonshoreandoffshoreexchangeratesconsideringtheimpactofextremeevents
Wei Yunjie1; Wei Qi2; Wang Shouyang1; Lai Kin Keung3
2018
Source Publicationjournalofsystemsscienceandcomplexity
ISSN1009-6124
Volume31Issue:3Pages:734
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.
Language英语
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/38530
Collection系统科学研究所
Affiliation1.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
Recommended Citation
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.
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