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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

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. 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
Date: 2014-09-28
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Published in Published in Journal of International Money and Finance, Volume 49, Issue PA, December 01, 2014, Pages 170-189.

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Related works:
Journal Article: The offshore renminbi exchange rate: Microstructure and links to the onshore market (2014) Downloads
Working Paper: The Offshore Renminbi Exchange Rate: Microstructure and Links to the Onshore Market (2014) Downloads
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