The Price Leading Effects among Offshore and Onshore RMB Exchange Rate Markets --- An empirical analysis based on the two stage comparison

DOI

10.2991/ieesasm-16.2016.51How to use a DOI?

Keywords

RMB Onshore Market, RMB Offshore Market, Exchange Rate Fluctuations Interval, Price leading effect.

Abstract

Taking March 17, 2014 as the time spit point when the exchange rate floating range was expanded again, and using the Vector Auto Regression model, impulse response function, variance decomposition, we make a comparative analysis is on the dynamic changes in the price guide effects among the CNY, CNH and NDF market in this paper. Studies have shown that the linkage effects among the three markets have strengthened after the expansion of the exchange rate fluctuations interval. The exchange rate of CHY plays more significant leading role on CNH and NDF. The exchange rate price guide function of CNH and NDF on CHY has also increased, but the contribution is not significant. The onshore RMB market has owned the pricing power of the RMB exchange rate.

Copyright

© 2016, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Xiaoling Song
AU  - Ya Gao
PY  - 2016/09
DA  - 2016/09
TI  - The Price Leading Effects among Offshore and Onshore RMB Exchange Rate Markets --- An empirical analysis based on the two stage comparison
BT  - Proceedings of the 2016 4th International Education, Economics, Social Science, Arts, Sports and Management Engineering Conference (IEESASM 2016)
PB  - Atlantis Press
SP  - 236
EP  - 242
SN  - 2352-5428
UR  - https://doi.org/10.2991/ieesasm-16.2016.51
DO  - 10.2991/ieesasm-16.2016.51
ID  - Song2016/09
ER  -