文献类型：期刊文献

英文题名：Time-dependent lead-lag relationship between the onshore and offshore Renminbi exchange rates

作者：Xu, Hai-Chuan[1,2]; Zhou, Wei-Xing[1,3]; Sornette, Didier[4,5]

机构：[1] Department of Finance, East China University of Science and Technology, Shanghai, 200237, China; [2] Postdoctoral Research Station, East China University of Science and Technology, Shanghai, 200237, China; [3] Department of Mathematics, East China University of Science and Technology, Shanghai, 200237, China; [4] Department of Management, Technology and Economics, ETH Zurich, Zurich, Switzerland; [5] Swiss Finance Institute, c/o University of Geneva, 40 blvd. Du Pont dArve, Geneva 4, CH 1211, Switzerland

年份：2018

外文期刊名：arXiv

收录：EI(收录号：20200155110)

语种：英文

外文关键词：Finance - Offshore oil well production

摘要：We employ the thermal optimal path method to explore both the long-term and short-term interaction patterns between the onshore CNY and offshore CNH exchange rates (2012-2015). For the daily data, the CNY and CNH exchange rates show a weak alternate lead-lag structure in most of the time periods. When CNY and CNH display a large disparity, the lead-lag relationship is uncertain and depends on the prevailing market factors. The minute-scale interaction pattern between the CNY and CNH exchange rates change over time according to different market situations. We find that US dollar appreciation is associated with a lead-lag relationship running from offshore to onshore, while a (contrarian) Renminbi appreciation is associated with a lead-lag relationship running from onshore to offshore. These results are robust with respect to different sub-sample analyses and variations of the key smoothing parameter of the TOP method. Copyright ? 2018, The Authors. All rights reserved.