The offshore renminbi exchange rate: Microstructure and links to the onshore market

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Title: The offshore renminbi exchange rate: Microstructure and links to the onshore market
Author: Cheung, Yin-Wong ; Rime, Dagfinn
Organization: Bank of Finland
Department / Unit: Institute for Economies in Transition (BOFIT)
Series: BOFIT Discussion Papers
Series number: 17/2014
Year of publication: 2014
Publication date: 28.9.2014
Published in: Published in Journal of International Money and Finance, Volume 49, Issue PA, December 01, 2014, Pages 170-189.
Pages: 42
Subject (yso): valuuttakurssit; valuuttakurssimekanismi
Keywords: Bofit-kokoelma; Kiina
JEL: F31; F33; G14; G15; G21; G28
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
Rights: https://helda.helsinki.fi/bof/copyright


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