The offshore renminbi exchange rate: Microstructure and links to the onshore market
Yin-Wong Cheung and
Dagfinn Rime ()
No 17/2014, BOFIT Discussion Papers from Bank of Finland, Institute for Economies in Transition
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. 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, 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. Publication keywords: foreign exchange market microstructure, order flow, limit-order imbalance, CNH, CNY, central parity rate
JEL-codes: F31 F33 G14 G15 G21 G28 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cna, nep-mon and nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (23) Track citations by RSS feed
Published in Published in Journal of International Money and Finance, Volume 49, Issue PA, December 01, 2014, Pages 170-189.
Downloads: (external link)
Journal Article: 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)
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:bof:bofitp:2014_017
Access Statistics for this paper
More papers in BOFIT Discussion Papers from Bank of Finland, Institute for Economies in Transition Bank of Finland, BOFIT, P.O. Box 160, FI-00101 Helsinki, Finland. Contact information at EDIRC.
Bibliographic data for series maintained by Minna Nyman ().