BOFIT Discussion Papers, Institute for Economies in Transition, Bank of Finland
The offshore renminbi exchange rate: Microstructure and links to the onshore market
() and Dagfinn Rime
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.
Keywords: foreign exchange market microstructure; order flow; limit-order imbalance; CNH; CNY; central parity rate; (follow links to similar papers)
JEL-Codes: F31; F33; G14; G15; G21; G28; (follow links to similar papers)
42 pages, September 29, 2014
Before downloading any of the electronic versions below
you should read our statement on
for viewing Postscript files and the
Acrobat Reader for viewing and printing pdf files.
Full text versions of the paper:
Questions (including download problems) about the papers in this series should be directed to Päivi Määttä ()
Report other problems with accessing this service to Sune Karlsson ()
or Helena Lundin ().
Design by Joachim Ekebom