The Offshore Renminbi Exchange Rate: Microstructure and Links to the Onshore Market

Arbeitspapier

The offshore renminbi (CNH) exchange rate is the exchange rate of the Chinese currency transacted outside China. We study the CNH exchange rate dynamics and its links with onshore exchange rates. Using a specialized microstructure dataset, we find that CNH is significantly affected by its order flow and limit-order imbalance. The offshore CNH exchange rate has an increasing impact on the onshore rate, and significant predictive power for the official RMB central parity rate. The CNH order flow also affects the onshore RMB exchange rate and the central parity rate. The interactions between variables are likely to be time-varying.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: CESifo Working Paper ; No. 4850

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Foreign Exchange ; International Monetary Arrangements and Institutions ; Information and Market Efficiency; Event Studies; Insider Trading ; International Financial Markets ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages ; Financial Institutions and Services: Government Policy and Regulation
• Thema: foreign exchange market microstructure ; order flow ; limit-order imbalance ; CNH ; CNY ; central parity rate

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Cheung, Yin-Wong ; Rime, Dagfinn
• Ereignis: Veröffentlichung
• (wer): Center for Economic Studies and ifo Institute (CESifo)
• (wo): Munich
• (wann): 2014

Weitere Informationen

• Handle: http://hdl.handle.net/10419/102094
• Letzte Aktualisierung: 10.03.2025, 11:41 MEZ