Abstract
Since 2011 China attempts to internationalise its currency by allowing more cross-border trade to be settled in renminbi (RMB). Via the so-called RMB Trade Settlement Scheme trade partners are able to pay and to be paid in RMB offshore. Due to the mostly closed mainland (onshore) market, both markets – dealing with the same currency (RMB) – are separated, whereas CNY refers to the onshore and CNH refers to the offshore market. In this paper, we provide a two-step investigation of the RMB markets. First, we investigate the short-term forecasting performance of spot CNY with GARCH-type and neural network models. Second, we attempt to uncover the benefits of relationships between onshore and offshore RMB. This is achieved by simulating both RMB time series in a multivariate way. Our conclusion is that our proposed models lead to a better understanding of the still young volatility behaviour of the two different RMB series.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: International Journal of Economic Policy in Emerging Economies
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
