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]East China Univ Sci & Technol, Dept Finance, Shanghai 200237, Peoples R China;[2]East China Univ Sci & Technol, Postdoctoral Res Stn, Shanghai 200237, Peoples R China;[3]East China Univ Sci & Technol, Dept Math, Shanghai 200237, Peoples R China;[4]ETH, Dept Management Technol & Econ, Zurich, Switzerland;[5]Univ Geneva, Swiss Finance Inst, 40 Blvd Du Pont dArve, CH-1211 Geneva 4, Switzerland

年份：2017

卷号：49

起止页码：173

外文期刊名：JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY

收录：;WOS:【SSCI(收录号:WOS:000406574600012)】；

基金：We thank participants at the 4th International Symposium in Computational Economics and Finance, Paris (April 2016). We are grateful to Fredj Jawadi, Shu-Heng Chen, Imran Shah, Estrella Gomez-Herrera, Yuyi Li, Yi-Heng Tseng and Yanyi Wang for insightful discussions of this work. Financial supports from the National Natural Science Foundation of China Grants (71501072), the China Postdoctoral Science Foundation Grants (2015M570342) and the Fundamental Research Funds for the Central Universities (222201524004, 222201718006) are acknowledged.

语种：英文

外文关键词：Renminbi exchange rates; Onshore and offshore markets; Lead-lag structure; Thermal optimal path

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. (C) 2017 Elsevier B.V. All rights reserved.