News announcements and price discovery in the RMB–USD market

Yu-Lun Chen ()
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Yu-Lun Chen: Chung Yuan Christian University

Review of Quantitative Finance and Accounting, 2020, vol. 54, issue 4, No 11, 1487-1508

Abstract: Abstract This study investigates the impact of improved central parity quotations in the Chinese Renminbi on price discovery in onshore (USD/CNY) and offshore (USD/CNH) markets. Chinese news releases refer to the gross domestic product, trade balances, and foreign exchange reserves; U.S. news features information on the meetings, statements, and minutes of the Federal Open Market Committee. They all have positive impacts on price discovery in the USD/CNH market. The greater contribution by the USD/CNH market to price discovery can be attributed to an improved quotation policy, which has enabled central parity to incorporate and transmit more USD/CNH information to the USD/CNY market.

Keywords: Price discovery; USD/CNH; Central parity quotations; Macroeconomic news announcements (search for similar items in EconPapers)
JEL-codes: F31 F38 G15 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (6)

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DOI: 10.1007/s11156-019-00832-5

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