The relationship between the Renminbi future spot return and the forward discount rate

► We study the relationship between the Renminbi future spot return and the forward discount. ► We find different regimes after the currency reform of July 2005. ► Rolling cointegration tests show that cointegration broke down in the early stages of the global financial crisis. ► Cointegration cannot be rejected for the later stages of the financial crisis. ► The unbiased forward rate hypothesis only holds in Spring 2009.