Cross-correlations between Renminbi and four major currencies in the Renminbi currency basket

► Cross-correlations significantly exist in CNY-USD, CNY-EUR, CNY-JPY, and CNY-KRW. ► The cross-correlations of CNY-USD, CNY-EUR, CNY-JPY, and CNY-KRW are weakly persistent. ► CNY and USD are positively cross-correlated over time. ► The cross-correlation scaling exponents of CNY-EUR have the cyclical fluctuation. ► CNY-JPY has negative cross-correlations during the European debt crisis, while CNY-KRW has positive.