Title

Return and volatility connectedness of Chinese onshore, offshore, and forward exchange rate

ORCID Identifiers

0000-0002-0425-2665

Document Type

Article

Source of Publication

Journal of Futures Markets

Publication Date

7-1-2021

Abstract

We analyze the return and volatility connectedness between the three Chinese exchange rate markets, namely, the onshore market, the offshore market, and the nondeliverable forward offshore market. Our results show that connectedness exhibits an increasing trend with fluctuations during periods of internal reforms and external shocks. For example, the connectedness increased with China's exchange rate reform on August 11, 2015 but dropped after that. Furthermore, we document that the offshore spot and a forward market dominated the other rates in return spillovers. In contrast, both the offshore and onshore forward rates dominated the other rates in volatility spillovers.

ISSN

0270-7314

Publisher

Wiley

Volume

41

Issue

11

First Page

1843

Last Page

1860

Disciplines

Business

Keywords

Impulse-response Analysis, RMB, Currency, Markets, Price

Indexed in Scopus

no

Open Access

no

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