کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5100990 | 1479098 | 2017 | 21 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Time-dependent lead-lag relationship between the onshore and offshore Renminbi exchange rates
ترجمه فارسی عنوان
وابستگی به زمان وابستگی سرب در بین نرخ ارز در دریای مدیترانه و دریای مدیترانه
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
We employ the thermal optimal path method to explore both the long-term and short-term interaction patterns between the onshore CNY and offshore CNH exchange rates (2012-2015). For the daily data, the CNY and CNH exchange rates show a weak alternate lead-lag structure in most of the time periods. When CNY and CNH display a large disparity, the lead-lag relationship is uncertain and depends on the prevailing market factors. The minute-scale interaction pattern between the CNY and CNH exchange rates change over time according to different market situations. We find that US dollar appreciation is associated with a lead-lag relationship running from offshore to onshore, while a (contrarian) Renminbi appreciation is associated with a lead-lag relationship running from onshore to offshore. These results are robust with respect to different sub-sample analyses and variations of the key smoothing parameter of the TOP method.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 49, July 2017, Pages 173-183
Journal: Journal of International Financial Markets, Institutions and Money - Volume 49, July 2017, Pages 173-183
نویسندگان
Hai-Chuan Xu, Wei-Xing Zhou, Didier Sornette,