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The impact of offshore exchange rate expectations on onshore exchange rates: The case of Chinese RMB

Fei Jia, Yao Shen, Junfan Ren and Xiangyun Xu

The North American Journal of Economics and Finance, 2021, vol. 56, issue C

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 (search for similar items in EconPapers)
JEL-codes: F31 F33 G15 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302321

DOI: 10.1016/j.najef.2020.101349

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