DocumentCode
575671
Title
A conintegration and comparison research on RMB onshore and offshore forward exchange rates
Author
Lingling, Yang
Author_Institution
Sch. of Econ. & Manage., Yunnan Normal Univ., Kunming, China
Volume
1
fYear
2012
fDate
20-21 Oct. 2012
Firstpage
365
Lastpage
369
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Information Management, Innovation Management and Industrial Engineering (ICIII), 2012 International Conference on
Conference_Location
Sanya
Print_ISBN
978-1-4673-1932-4
Type
conf
DOI
10.1109/ICIII.2012.6339677
Filename
6339677
Link To Document