Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/102094 
Year of Publication: 
2014
Series/Report no.: 
CESifo Working Paper No. 4850
Publisher: 
Center for Economic Studies and ifo Institute (CESifo), Munich
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.
Subjects: 
foreign exchange market microstructure
order flow
limit-order imbalance
CNH
CNY
central parity rate
JEL: 
F31
F33
G14
G15
G21
G28
Document Type: 
Working Paper
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