Return and volatility connectedness of Chinese onshore, offshore, and forward exchange rate
Source of Publication
Journal of Futures Markets
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.
Impulse-response Analysis, RMB, Currency, Markets, Price
Zhao, Yanping; Umar, Zaghum; and Xuan Vinh, Vo, "Return and volatility connectedness of Chinese onshore, offshore, and forward exchange rate" (2021). All Works. 4791.
Indexed in Scopus