Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/212878 
Year of Publication: 
2017
Series/Report no.: 
BOFIT Discussion Papers No. 15/2017
Publisher: 
Bank of Finland, Institute for Economies in Transition (BOFIT), Helsinki
Abstract: 
In line with the deepening of the derivative foreign-exchange market in Hong Kong, we recover risk-neutral probability densities for future US dollar/offshore renminbi exchange rates as implied by exchange rate option prices. The risk-neutral densities (RND) approach is shown to be useful in analyzing market sentiment and risk aversion in the renminbi market. We include a forecasting exercise that confirms market participants were able to forecast the shape of the actual densities correctly for short horizons, even if their exact location could not be determined.
JEL: 
C53
F31
F37
Persistent Identifier of the first edition: 
ISBN: 
978-952-323-194-8
Document Type: 
Working Paper

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