Assessing the price dynamics of onshore and offshore RMB markets: An ITS model approach
文献类型：期刊论文
| 作者 | Sun, Yuying1,2; Bao, Qin1,2; Zheng, Jiali1,3,4; Wang, Shouyang1,2,3 |
| 刊名 | CHINA ECONOMIC REVIEW
 |
| 出版日期 | 2020-08-01 |
| 卷号 | 62页码:12 |
| 关键词 | RMB exchange rate Onshore and offshore markets Price dynamics, interval time series |
| ISSN号 | 1043-951X |
| DOI | 10.1016/j.chieco.2020.101476 |
| 英文摘要 | 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. |
| 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 |
| 语种 | 英语 |
| WOS记录号 | WOS:000567842300031 |
| 出版者 | ELSEVIER SCIENCE INC |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/52166]  |
| 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. |
入库方式： OAI收割
来源：数学与系统科学研究院
浏览0
下载0
收藏0
其他版本
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。