The offshore renminbi exchange rate: Microstructure and links to the onshore market

Yin-Wong Cheung and Dagfinn Rime

Journal of International Money and Finance, 2014, vol. 49, issue PA, 170-189

Abstract: The offshore renminbi (CNH) exchange rate is the exchange rate of the Chinese currency transacted outside China. We study the CNH exchange rate dynamics and its links with onshore exchange rates (CNY). Using a specialized microstructure dataset, we find that CNH is significantly affected by its order flow and limit-order imbalance. The offshore CNH exchange rate has an increasing impact on the onshore rate CNY, and significant predictive power for the official RMB central parity rate. The CNH order flow also affects the onshore RMB exchange rate and the central parity rate. The interactions between variables are likely to be time-varying.

Keywords: Foreign exchange market microstructure; Order flow; Limit-order imbalance; CNH; CNY; Central parity rate (search for similar items in EconPapers)
JEL-codes: F31 F33 G14 G15 G21 G28 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (41)

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Working Paper: The offshore renminbi exchange rate: Microstructure and links to the onshore market (2014)
Working Paper: The Offshore Renminbi Exchange Rate: Microstructure and Links to the Onshore Market (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:49:y:2014:i:pa:p:170-189

DOI: 10.1016/j.jimonfin.2014.05.012

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