The Information Content in the Offshore Renminbi Foreign-Exchange Option Market: Analytics and Implied USD/CNH Densities

Funke, Michael; Loermann, Julius; Tsang, Andrew

doi:10.2139/ssrn.3062512

Cited by 2 publications

(1 citation statement)

References 18 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…(a) The 2015 RMB reformOn August 11, 2015, the PBoC announced the new mechanism (as described in Section 2.1) for formulating the daily central parity fixing of the CNY, as a key step in lobbying the IMF to include the RMB in the SDR currency basket. 17 Although the exchange rate regime change only affected the CNY exchange rate, the market participants in both the main and the satellite markets interpreted this as the PBoC's intention to depreciate the RMB exchange rate (Funke et al, 2017). On the announcement date (August 11, 2015), the RMB exchange rates experienced the largest daily depreciation since the adoption of the managed floating regime in 2005.…”

Section: Virf Analysismentioning

confidence: 99%

Volatility transmission and volatility impulse response functions in the main and the satellite Renminbi exchange rate markets

Funke

Loermann²,

Tsang³

2021

Rev International Economics

Self Cite

View full text Add to dashboard Cite

The contributions of this paper are two‐fold, one methodological and the other substantive. First, we propose a novel way of estimating volatility impulse response functions (VIRF) employing the Markov chain Monte Carlo algorithm. As a useful byproduct, the associated confidence bands can be constructed. Second, we analyze volatility spillovers between the on‐ and offshore Renminbi exchange rates toward the US dollar. The VIRF show that the satellite CNH exchange rate promptly reflects the global market demand and supply, while the main CNY exchange rate reacts with a time lag.

show abstract

Section: Virf Analysismentioning

confidence: 99%

Volatility transmission and volatility impulse response functions in the main and the satellite Renminbi exchange rate markets

Funke

Loermann²,

Tsang³

2021

Rev International Economics

Self Cite

View full text Add to dashboard Cite

show abstract

Chinese Exchange Rate Policy: Lessons for Global Investors

Melvin¹,

Westermann²

2021

J of Money Credit Banking

View full text Add to dashboard Cite

In 2015, the People's Bank of China announced a new exchange rate policy where the RMB central parity rate is determined each morning by the previous day's closing rate, market demand and supply, and valuations of other currencies. This policy suggests an implementable investment strategy for trading the CNH. We create a forecasting model that can be used to manage the global investor's problem of mitigating the currency risk inherent in Chinese equity positions. A dynamic currency overlay strategy, where the forecasting model is used as a trading signal to take long and short positions in CNH, performs particularly well.

show abstract

The Information Content in the Offshore Renminbi Foreign-Exchange Option Market: Analytics and Implied USD/CNH Densities

Cited by 2 publications

References 18 publications

Volatility transmission and volatility impulse response functions in the main and the satellite Renminbi exchange rate markets

Volatility transmission and volatility impulse response functions in the main and the satellite Renminbi exchange rate markets

Chinese Exchange Rate Policy: Lessons for Global Investors

Contact Info

Product

Resources

About