Title :
A conintegration and comparison research on RMB onshore and offshore forward exchange rates
Author_Institution :
Sch. of Econ. & Manage., Yunnan Normal Univ., Kunming, China
Abstract :
A strong and close relation between RMB forward exchange rate and non-deliverable forward exchange rate is testified by the cointegration test. Furthermore, a comparison on the above two exchange rates is made to infer that they are characterized by different volatility natures, and that the former is asymmetrically influenced by the innovation shocking curve.
Keywords :
exchange rates; RMB forward exchange rate; cointegration test; innovation shocking curve; nondeliverable forward exchange rate; offshore forward exchange rates; onshore forward exchange rates; volatility natures; Educational institutions; Equations; Exchange rates; Fluctuations; Market research; Mathematical model; Technological innovation; RMB forward exchange rate; autoregressive conditional heteroskedasticity; cointegration; non-deliverable forward exchange rate;
Conference_Titel :
Information Management, Innovation Management and Industrial Engineering (ICIII), 2012 International Conference on
Conference_Location :
Sanya
Print_ISBN :
978-1-4673-1932-4
DOI :
10.1109/ICIII.2012.6339677
