Assessing the price dynamics of onshore and offshore RMB markets: An ITS model approach

doi:10.1016/j.chieco.2020.101476

CSpace

	Assessing the price dynamics of onshore and offshore RMB markets: An ITS model approach
	Sun, Yuying 1,2; Bao, Qin 1,2; Zheng, Jiali 1,3,4; Wang, Shouyang 1,2,3
	2020-08-01
发表期刊	CHINA ECONOMIC REVIEW
ISSN	1043-951X
卷号	62 页码:12
摘要	This paper investigates how the price dynamics of both onshore and offshore RMB markets are affected by fundamental determinants, market liquidity, global risk aversion and policies by using daily data from August 2010 to February 2016. The interval time series (ITS) modelling is applied to study the RMB price mechanism by capturing prices of the two markets as one self formed interval data. An interval-based Wald test is constructed to examine the differences between the coefficients and an interval-based Mallows criterion is proposed for choosing appropriate explanatory variables. We find that both the price level and the price differences of onshore and offshore RMB markets are greatly affected by economic fundamentals indicated by different returns on stock indexes and market liquidity indicated by bid-ask prices of offshore market price. In addition, it is suggested that the interest rate spread between China and the US and the global risk appetite do not significantly affect the RMB price for both onshore and offshore markets. Finally, the results imply that "811 reform" of the RMB exchange rate regime does not change the fundamental price dynamics of RMB markets, but significantly changes how economic fundamentals affect the price mechanism of RMB exchange rate.
关键词	RMB exchange rate Onshore and offshore markets Price dynamics, interval time series
DOI	10.1016/j.chieco.2020.101476
收录类别	SCI
语种	英语
资助项目	National Natural Science Foundation of China[71703156] ; National Natural Science Foundation of China[71573251] ; National Natural Science Foundation of China[71871213] ; National Natural Science Foundation of China[71642006] ; Fujian Provincial Key Laboratory of Statistics (Xiamen University)[201601]
WOS研究方向	Business & Economics
WOS类目	Economics
WOS记录号	WOS:000567842300031
出版者	ELSEVIER SCIENCE INC
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/52167
专题	中国科学院数学与系统科学研究院
通讯作者	Bao, Qin
作者单位	1.Chinese Acad Sci, Acad Math & Syst Sci, 55 Zhongguancun Rd, Beijing 100190, Peoples R China 2.Chinese Acad Sci, Ctr Forecasting Sci, Beijing, Peoples R China 3.Univ Chinese Acad Sci, Sch Econ & Management, Beijing, Peoples R China 4.UCL, Bartlett Sch Construct & Project Management, London, England
推荐引用方式 GB/T 7714	Sun, Yuying,Bao, Qin,Zheng, Jiali,et al. Assessing the price dynamics of onshore and offshore RMB markets: An ITS model approach[J]. CHINA ECONOMIC REVIEW,2020,62:12.
APA	Sun, Yuying,Bao, Qin,Zheng, Jiali,&Wang, Shouyang.(2020).Assessing the price dynamics of onshore and offshore RMB markets: An ITS model approach.CHINA ECONOMIC REVIEW,62,12.
MLA	Sun, Yuying,et al."Assessing the price dynamics of onshore and offshore RMB markets: An ITS model approach".CHINA ECONOMIC REVIEW 62(2020):12.