The impact of offshore exchange rate expectations on onshore exchange rates: The case of Chinese RMB |
| |
| Institution: | 1. College of Economics & Academy of Financial Research, Zhejiang University, Hangzhou, China;2. Department of Economics, Chinese University of Hong Kong, Shatin, New Territories, Hong Kong;3. Department of Economics, Hong Kong University of Science and Technology, Clear Water Bay, Kowloon, Hong Kong;1. Enterprise Research Centre, UK;2. Stockholm China Economic Research Institute, Stockholm School of Economics, PO Box 6501, 113 83 Stockholm, Sweden;3. Institute of Economics, Chinese Social Science Academy, 2 Yue Tan Bei Xiao Jie, Beijing 100836, China;4. Economics and Strategy Group, Aston Business School, Aston University, Birmingham B4 7ET, UK |
| |
| Abstract: | This paper examines the impact of offshore RMB exchange rate expectations on onshore RMB (CNY) exchange rates. Employing data for the period of 2005–2018, we show that overall offshore market expectations influence onshore RMB rates, but this effect is significant only for the period after the “Second exchange rate regime reform” in 2010. The non-uniform nature of this impact is also confirmed by the existence of a threshold effect of the expectations in the same period. The study improves our understanding of how the offshore RMB market influences onshore RMB spot rates as a result of the marketization reform of the RMB exchange rate regime. |
| |
| Keywords: | RMB offshore market RMB onshore market Exchange rate expectations Threshold effect |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
