EconPapers    
Economics at your fingertips  
 

Renminbi Revaluation, Euro Appreciation and Chinese Markets: What Can We Learn From Data?

Paul McNelis () and Salih Neftci

No 12006, Working Papers from Hong Kong Institute for Monetary Research

Abstract: This paper examines financial market data to assess the likelihood of renminbi revaluation and its implications for Chinese share price increases, given the continuing appreciation of the Euro against the U.S. dollar. We find that the 3-month non-deliverable forward premia are key series linking these variables. The forward premia predict series A share-price changes, while Euro/US dollar exchange rates in turn predict foreward-premia. Bayesian models outperform standard linear models for forecasting performance.

Keywords: Prediction; Bayesian forecasting; Granger tests of causality; nested models (search for similar items in EconPapers)
JEL-codes: G14 G15 G18 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2006-01
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.hkimr.org/uploads/publication/215/ub_full_0_2_123_wp200601_text.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Internal Server Error (http://www.hkimr.org/uploads/publication/215/ub_full_0_2_123_wp200601_text.pdf [301 Moved Permanently]--> http://www.aof.org.hk/research/HKIMR/uploads/publication/215/ub_full_0_2_123_wp200601_text.pdf [301 Moved Permanently]--> https://www.aof.org.hk/research/HKIMR/uploads/publication/215/ub_full_0_2_123_wp200601_text.pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hkm:wpaper:012006

Access Statistics for this paper

More papers in Working Papers from Hong Kong Institute for Monetary Research Contact information at EDIRC.
Bibliographic data for series maintained by HKIMR ().

 
Page updated 2021-04-12
Handle: RePEc:hkm:wpaper:012006