Is the Renminbi a safe haven?

Rasmus Fatum, Yohei Yamamoto and Guozhong Zhu

No GRU_2016_018, GRU Working Paper Series from City University of Hong Kong, Department of Economics and Finance, Global Research Unit

Abstract: We investigate the relationship between market uncertainty and the relative value of the Renminbi in the offshore market against currencies that the safe haven literature typically considers as the traditional safe haven currency candidates. Our sample spans the February 2011 to May 2017 period. Band spectral regression models enable us to capture that the relationship between market uncertainty and the relative value of the Renminbi is frequency dependent. While we find evidence of some degree of safe haven currency behavior of the Renminbi during the early part of our sample, our findings do not support the suggestion that the Renminbi is currently a safe haven currency or that the Renminbi is progressing towards safe haven currency status.

Keywords: Renminbi; Safe Haven Currencies (search for similar items in EconPapers)
JEL-codes: F31 G15 (search for similar items in EconPapers)
Pages: 33 pages
New Economics Papers: this item is included in nep-mon
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Published in Journal of International Money and Finance, Volume 79C, pp 189-202

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https://www.cb.cityu.edu.hk/ef/doc/GRU/WPS/GRU%232016-018_Rasmus.pdf (application/pdf)

Related works:
Journal Article: Is the Renminbi a safe haven? (2017)
Working Paper: Is the Renminbi a safe haven? (2016)
Working Paper: Is the Renminbi a Safe Haven? (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:cth:wpaper:gru_2016_018

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