Co-movement between RMB and New Taiwan Dollars: Evidences from NDF markets
Li Yang (),
Chunyang Zhou and
The North American Journal of Economics and Finance, 2014, vol. 28, issue C, 265-272
This paper investigates the comovement and tail dependence between Chinese Yuan and New Taiwan Dollar non-delivery forward (NDF) rates against the U.S. dollar. We adopt the copula modeling approach to capture dynamics of correlation and tail dependence between two NDF rates. It is shown that the interdependence between two NDF rates strengthens as time elapses. In particular, the degree of correlation surges sharply after April 9, 2008 while the degree of tail dependence increases significantly after February 10, 2009. Each time point of change is shown to be close to economic and political events that are supposed to have a large impact on the relationship between Chinese Yuan and New Taiwan Dollar.
Keywords: Comovement; Non-delivery forward; Copula; Renminbi; Correlation; Tail dependence (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:28:y:2014:i:c:p:265-272
Access Statistics for this article
The North American Journal of Economics and Finance is currently edited by Hamid Beladi
More articles in The North American Journal of Economics and Finance from Elsevier
Bibliographic data for series maintained by Haili He ().