Browsing by Subject "CNY"

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  • Koivu, Tuuli (2010)
    Bofit. Focus/Opinion. Expert view 5/2010
  • Koivu, Tuuli (2010)
    Bofit. Focus/Opinion. Asiantuntijan näkemys 5/2010
  • Qing, He; Korhonen, Iikka; Zongxin, Qian (2017)
    BOFIT Discussion Papers 14/2017
    Published in International Review of Economics & Finance 2021 ; 75 ; September https://doi.org/10.1016/j.iref.2021.04.028
    In emerging market economies, transmission of monetary policy through the foreign exchange market is complicated by the coexistence of financial restrictions and arbitrages. Using China as an example, we show that the coexistence of exchange rate interventions, capital controls and an on-shore-offshore exchange rate differential makes the long run equilibrium in the currency market nonlinear. Disturbances to this nonlinear long run equilibrium could offset the impact of monetary policy actions on domestic price stability. Omitting such nonlinearity leads to biased inference on the effectiveness of monetary policy.
  • He, Qing; Korhonen, Iikka; Qian, Zongxin (2021)
    International Review of Economics & Finance September ; 2021
    In emerging market economies, transmission of monetary policy through the foreign exchange market is complicated by the coexistence of financial restrictions and arbitrages. Using China as an example, we show that the coexistence of exchange rate interventions, capital controls and an on-shore-offshore exchange rate differential makes the long run equilibrium in the currency market nonlinear. Disturbances to this nonlinear long run equilibrium could offset the impact of monetary policy actions on domestic price stability. Omitting such nonlinearity leads to biased inference on the effectiveness of monetary policy.
  • Funke, Michael; Loermann, Julius; Tsang, Andrew (2020)
    BOFIT Discussion Papers 22/2020
    Published in Review of International Economics, Vol. 30, 2022, 606–628 https://doi.org/10.1111/roie.12577
    We analyse volatility spillovers between the on- and offshore (CNY and CNH) Renminbi exchange rates towards the US dollar (USD). The volatility impulse response (VIRF) methodology introduced by Hafner and Herwatz (2006) is applied to several shocks between January 2012 and December 2019. Furthermore, we propose a novel way of estimating VIRFs based on Bayesian estimation of the MV-GARCH BEKK model. A simple Independence Chain Metropolis-Hastings algorithm allows drawing VIRFs in an efficient manner, allowing to analyse the significance and persistence of volatility shocks and associated volatility spillovers. The VIRF results show that the CNH exchange rate promptly reflects the global market demand and supply, while the CNY exchange rate reacts with a time lag. The VIRF results also show the existence of spillovers between the two markets as the co-volatility increases in response to shocks.
  • Colavecchio, Roberta; Funke, Michael (2006)
    BOFIT Discussion Papers 16/2006
    Published in China Economic Review 19 (2008) 635-648
    This paper uses multivariate GARCH techniques to study volatility spillovers between the Chinese non-deliverable forward market and seven of its Asia-Pacific counterparts over the period January 1998 to March 2005.To account for the time-variability of conditional correlation, a dynamic correlation structure is included in the volatility model specification.The empirical results demonstrate that the renminbi non-deliverable forward (NDF) has been a driver of various Asian currency markets but that such co-movements exhibit a substantial degree of heterogeneity.As to the determinants of the magnitude of these comovements, we test the relevance of potential factors and find that it is the degree of real and financial integration, in particular, that exerts the largest influence on volatility transmission. Keywords: China, renminbi, Asia, forward exchange rates, non-deliverable forward market, multivariate GARCH models JEL-Classification: C22, F31, F36
  • Colavecchio, Roberta; Funke, Michael (2007)
    BOFIT Discussion Papers 17/2007
    Published in Journal of Asian Economics, Vol. 20, No. 2, March 2009 as "Volatility dependence across Asia-Pacific onshore and offshore currency forwards markets"
    This paper estimates switching autoregressive conditional heteroscedasticity (SWARCH) time series models for weekly returns of nine Asian forward exchange rates. We find two regimes with different volatility levels, whereby each regime displays considerable persistence. Our analysis provides evidence that the knock-on effects from China's U.S. dollar future rates upon other Asian countries have been modest, in that little evidence exists for co-dependence of volatility regimes. Keywords: China, renminbi, Asia, forward exchange rates, non-deliverable forward market, SWARCH models JEL-Classification: C22, F31, F36