Assessing the CNH–CNY pricing differential: Role of fundamentals, contagion and policy
Author
Abstract
Suggested Citation
DOI: 10.1016/j.jimonfin.2015.07.008
Download full text from publisher
As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.
Other versions of this item:
- Michael Funke & Chang Shu & Xiaoqiang Cheng & Sercan Eraslan, 2015. "Assessing the CNH-CNY pricing differential: role of fundamentals, contagion and policy," BIS Working Papers 492, Bank for International Settlements.
References listed on IDEAS
- Levy, Daniel & Bergen, Mark & Dutta, Shantanu & Venable, Robert, 1997.
"The Magnitude of Menu Costs: Direct Evidence from Large U.S. Supermarket Chains,"
EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 112(3), pages 791-824.
- Daniel Levy & Mark Bergen & Shantanu Dutta & Robert Venable, 1997. "The Magnitude of Menu Costs: Direct Evidence from Large U. S. Supermarket Chains," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 112(3), pages 791-824.
- Daniel Levy & Mark Bergen & Shantanu Dutta & Robert Venable, 1997. "The Magnitude of Menu Costs: Direct Evidence from Large U. S. Supermarket Chains," Post-Print hal-02382825, HAL.
- Daniel Levy & Mark Bergen & Shantanu Dutta & Robert Venable, 2005. "The Magnitude of Menu Costs: Direct Evidence from Large U.S. Supermarket Chains," Macroeconomics 0505012, University Library of Munich, Germany.
- Doornik, Jurgen A. & Ooms, Marius, 2008.
"Multimodality in GARCH regression models,"
International Journal of Forecasting, Elsevier, vol. 24(3), pages 432-448.
- Jurgen A. Doornik & Marius Ooms, 2003. "Multimodality in the GARCH Regression Model," Economics Papers 2003-W20, Economics Group, Nuffield College, University of Oxford.
- Lumsdaine, Robin L. & Ng, Serena, 1999.
"Testing for ARCH in the presence of a possibly misspecified conditional mean,"
Journal of Econometrics, Elsevier, vol. 93(2), pages 257-279, December.
- Robin L. Lumsdaine & Serena Ng, 1998. "Testing for ARCH in the Presence of a Possibly Misspecified Conditional Mean," Boston College Working Papers in Economics 370, Boston College Department of Economics.
- Chinn, Menzie D. & Ito, Hiro, 2006.
"What matters for financial development? Capital controls, institutions, and interactions,"
Journal of Development Economics, Elsevier, vol. 81(1), pages 163-192, October.
- Chinn,M.D. & Ito,H., 2005. "What matters for financial development? : capital controls, institutions, and interactions," Working papers 4, Wisconsin Madison - Social Systems.
- Chinn, Menzie David & Ito, Hiro, 2005. "What Matters for Financial Development? Capital Controls, Institutions, and Interactions," Santa Cruz Center for International Economics, Working Paper Series qt5pv1j341, Center for International Economics, UC Santa Cruz.
- Menzie D. Chinn & Hiro Ito, 2005. "What Matters for Financial Development? Capital Controls, Institutions, and Interactions," NBER Working Papers 11370, National Bureau of Economic Research, Inc.
- Chinn, Menzie David & Ito, Hiro, 2005. "What Matters for Financial Development? Capital Controls, Institutions, and Interactions," Santa Cruz Department of Economics, Working Paper Series qt5pv1j341, Department of Economics, UC Santa Cruz.
- Ka-Fai Li & Cho-Hoi Hui & Tsz-Kin Chung, 2012. "Determinants and Dynamics of Price Disparity in Onshore and Offshore Renminbi Forward Exchange Rate Markets," Working Papers 242012, Hong Kong Institute for Monetary Research.
- Shu, Chang & He, Dong & Cheng, Xiaoqiang, 2015.
"One currency, two markets: the renminbi's growing influence in Asia-Pacific,"
China Economic Review, Elsevier, vol. 33(C), pages 163-178.
- Chang Shu & Dong He & Xiaoqiang Cheng, 2014. "One Currency, Two Markets: The Renminbi's Growing Influence in Asia-Pacific," Working Papers 102014, Hong Kong Institute for Monetary Research.
- Chang Shu & Dong He & Xiaoqiang Cheng, 2014. "One currency, two markets: the renminbi’s growing influence in Asia-Pacific," BIS Working Papers 446, Bank for International Settlements.
- West, Kenneth D. & Cho, Dongchul, 1995.
"The predictive ability of several models of exchange rate volatility,"
Journal of Econometrics, Elsevier, vol. 69(2), pages 367-391, October.
- West, K.D. & Cho, D., 1993. "The Predictive Ability of Several Models of Exchange Rate Volatility," Working papers 9317, Wisconsin Madison - Social Systems.
- Kenneth D. West & Dongchul Cho, 1994. "The Predictive Ability of Several Models of Exchange Rate Volatility," NBER Technical Working Papers 0152, National Bureau of Economic Research, Inc.
- West, K.D. & Cho, D., 1993. "The Predictive Ability of Several Models of Exchange Rate Volatility," Working papers 9317r, Wisconsin Madison - Social Systems.
- Shiller, Robert J, 1981.
"The Use of Volatility Measures in Assessing Market Efficiency,"
Journal of Finance, American Finance Association, vol. 36(2), pages 291-304, May.
- Robert J. Shiller, 1980. "The Use of Volatility Measures in Assessing Market Efficiency," NBER Working Papers 0565, National Bureau of Economic Research, Inc.
- Amihud, Yakov & Mendelson, Haim, 1986. "Asset pricing and the bid-ask spread," Journal of Financial Economics, Elsevier, vol. 17(2), pages 223-249, December.
- Balasubramaniam, Vimal & Patnaik, Ila & Shah, Ajay, 2011. "Who cares about the Chinese Yuan?," Working Papers 11/89, National Institute of Public Finance and Policy.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2003.
"Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange,"
American Economic Review, American Economic Association, vol. 93(1), pages 38-62, March.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2002. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," NBER Working Papers 8959, National Bureau of Economic Research, Inc.
- Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2002. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," Working Papers 02-16, Duke University, Department of Economics.
- Anderson, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2002. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," Working Papers 02-1, University of Pennsylvania, Wharton School, Weiss Center.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2002. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange?," Center for Financial Institutions Working Papers 02-23, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Cheung, Yin-Wong & Rime, Dagfinn, 2014.
"The offshore renminbi exchange rate: Microstructure and links to the onshore market,"
Journal of International Money and Finance, Elsevier, vol. 49(PA), pages 170-189.
- Yin-Wong Cheung & Dagfinn Rime, 2014. "The Offshore Renminbi Exchange Rate: Microstructure and Links to the Onshore Market," CESifo Working Paper Series 4850, CESifo.
- Cheung, Yin-Wong & Rime, Dagfinn, 2014. "The offshore renminbi exchange rate: Microstructure and links to the onshore market," BOFIT Discussion Papers 17/2014, Bank of Finland Institute for Emerging Economies (BOFIT).
- Cheung, Yin-Wong & Rime, Dagfinn, 2014. "The offshore renminbi exchange rate: Microstructure and links to the onshore market," Santa Cruz Department of Economics, Working Paper Series qt9nj1q298, Department of Economics, UC Santa Cruz.
- Chung, Tsz-Kin & Hui, Cho-Hoi & Li, Ka-Fai, 2013.
"Explaining share price disparity with parameter uncertainty: Evidence from Chinese A- and H-shares,"
Journal of Banking & Finance, Elsevier, vol. 37(3), pages 1073-1083.
- Tsz-Kin Chung & Ka-Fai Li & Cho-Hoi Hui, 2011. "Explaining Share Price Disparity with Parameter Uncertainty: Evidence from Chinese A- and H-Shares," Working Papers 332011, Hong Kong Institute for Monetary Research.
- Marcel Fratzscher & Arnaud Mehl, 2014.
"China's Dominance Hypothesis and the Emergence of a Tri‐polar Global Currency System,"
Economic Journal, Royal Economic Society, vol. 124(581), pages 1343-1370, December.
- Fratzscher, Marcel & Mehl, Arnaud, 2011. "China?s Dominance Hypothesis and the Emergence of a Tri-polar Global Currency System," CEPR Discussion Papers 8671, C.E.P.R. Discussion Papers.
- Fratzscher, Marcel & Mehl, Arnaud, 2011. "China's dominance hypothesis and the emergence of a tri-polar global currency system," Working Paper Series 1392, European Central Bank.
- Dong He & Robert N McCauley, 2013.
"Transmitting Global Liquidity to East Asia: Policy Rates, Bond Yields, Currencies and Dollar Credit,"
Working Papers
152013, Hong Kong Institute for Monetary Research.
- Dong He & Robert N McCauley, 2013. "Transmitting global liquidity to East Asia: policy rates, bond yields, currencies and dollar credit," BIS Working Papers 431, Bank for International Settlements.
- Brooks, Chris, 2001. "A Double-Threshold GARCH Model for the French Franc/Deutschmark Exchange Rate," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(2), pages 135-143, March.
- Valentina Bruno & Hyun Song Shin, 2015.
"Cross-Border Banking and Global Liquidity,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 82(2), pages 535-564.
- Valentina Bruno & Hyun Song Shin, 2014. "Cross-border banking and global liquidity," BIS Working Papers 458, Bank for International Settlements.
- McCauley, Robert, 2013.
"Risk-On/Risk-Off, Capital Flows, Leverage and Safe Assets,"
Journal of Financial Perspectives, EY Global FS Institute, vol. 1(2), pages 145-154.
- Robert N. McCauley, 2012. "Risk-on/risk-off, capital flows, leverage and safe assets," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, vol. 8(3), pages 281-298, August.
- Robert N McCauley, 2012. "Risk-on/risk-off, capital flows, leverage and safe assets," BIS Working Papers 382, Bank for International Settlements.
- Robert N. McCauley, 2013. "Risk-On/Risk-Off, Capital Flows, Leverage, and Safe Assets," Finance Working Papers 23390, East Asian Bureau of Economic Research.
- McCauley, Robert N., 2013. "Risk-On/Risk-Off, Capital Flows, Leverage, and Safe Assets," ADBI Working Papers 405, Asian Development Bank Institute.
- Robert N. McCauley, 2013. "Risk-On/Risk-Off, Capital Flows, Leverage, and Safe Assets," Macroeconomics Working Papers 23390, East Asian Bureau of Economic Research.
- Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2007.
"Real-time price discovery in global stock, bond and foreign exchange markets,"
Journal of International Economics, Elsevier, vol. 73(2), pages 251-277, November.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2006. "Real-time price discovery in global stock, bond and foreign exchange markets," International Finance Discussion Papers 871, Board of Governors of the Federal Reserve System (U.S.).
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2007. "Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets," CREATES Research Papers 2007-20, Department of Economics and Business Economics, Aarhus University.
- Faust, Jon & Rogers, John H. & Wang, Shing-Yi B. & Wright, Jonathan H., 2007.
"The high-frequency response of exchange rates and interest rates to macroeconomic announcements,"
Journal of Monetary Economics, Elsevier, vol. 54(4), pages 1051-1068, May.
- Jon Faust & John H. Rogers & Shing-Yi Wang & Jonathan H. Wright, 2003. "The high-frequency response of exchange rates and interest rates to macroeconomic announcements," International Finance Discussion Papers 784, Board of Governors of the Federal Reserve System (U.S.).
- Chen, Cathy W.S. & So, Mike K.P., 2006. "On a threshold heteroscedastic model," International Journal of Forecasting, Elsevier, vol. 22(1), pages 73-89.
- Pagan, Adrian, 1984. "Econometric Issues in the Analysis of Regressions with Generated Regressors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(1), pages 221-247, February.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
- C. Randall Henning, 2012. "Choice and Coercion in East Asian Exchange Rate Regimes," Working Paper Series WP12-15, Peterson Institute for International Economics.
- Rey, Hélène, 2015.
"Dilemma not Trilemma: The Global Financial Cycle and Monetary Policy Independence,"
CEPR Discussion Papers
10591, C.E.P.R. Discussion Papers.
- Hélène Rey, 2015. "Dilemma not Trilemma: The Global Financial Cycle and Monetary Policy Independence," NBER Working Papers 21162, National Bureau of Economic Research, Inc.
- repec:zbw:bofitp:2014_017 is not listed on IDEAS
- Jérôme Lahaye & Sébastien Laurent & Christopher J. Neely, 2011.
"Jumps, cojumps and macro announcements,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 893-921, September.
- Jerome Lahaye & Sebastien Laurent & Christopher J. Neely, 2007. "Jumps, cojumps and macro announcements," Working Papers 2007-032, Federal Reserve Bank of St. Louis.
- LAHAYE, Jérôme & LAURENT, Sébastien & NEELY, Christopher J., 2011. "Jumps, cojumps and macro announcements," LIDAM Reprints CORE 2413, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Robert N McCauley & Chang Shu & Guonan Ma, 2014. "Non-deliverable forwards: 2013 and beyond," BIS Quarterly Review, Bank for International Settlements, March.
- Hyun Song Shin, 2014.
"The Second Phase of Global Liquidity and Its Impact on Emerging Economies,"
Palgrave Macmillan Books, in: Kyuil Chung & Soyoung Kim & Hail Park & Changho Choi & Hyun Song Shin (ed.), Volatile Capital Flows in Korea, chapter 10, pages 247-257,
Palgrave Macmillan.
- Hyun Song Shin, 2013. "The second phase of global liquidity and its impact on emerging economies," Proceedings, Federal Reserve Bank of San Francisco, issue Nov, pages 1-10.
- Thomas Mikosch & Cătălin Stărică, 2004. "Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects," The Review of Economics and Statistics, MIT Press, vol. 86(1), pages 378-390, February.
- Cathy W. S. Chen & Mike K. P. So & Edward M. H. Lin, 2009. "Volatility forecasting with double Markov switching GARCH models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(8), pages 681-697.
- Chen, Shyh-Wei & Shen, Chung-Hua, 2004. "GARCH, jumps and permanent and transitory components of volatility: the case of the Taiwan exchange rate," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 67(3), pages 201-216.
- Torsten Ehlers & Frank Packer, 2013. "FX and derivatives markets in emerging economies and the internationalisation of their currencies," BIS Quarterly Review, Bank for International Settlements, December.
- Joseph E. Gagnon & Kent Troutman, 2014. "Internationalization of the Renminbi: The Role of Trade Settlement," Policy Briefs PB14-15, Peterson Institute for International Economics.
- Thomas Mikosch & Catalin Starica, 2004. "Non-stationarities in financial time series, the long range dependence and the IGARCH effects," Econometrics 0412005, University Library of Munich, Germany.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Shu, Chang & He, Dong & Dong, Jinyue & Wang, Honglin, 2018. "Regional pull vs global push factors: China and US influence on Asian financial markets," Journal of International Money and Finance, Elsevier, vol. 87(C), pages 112-132.
- Chang Shu & Dong He & Jinyue Dong & Honglin Wang, 2016. "Regional pull vs global push factors: China and US influence on Asia-Pacific financial markets," BIS Working Papers 579, Bank for International Settlements.
- Shu, Chang & He, Dong & Cheng, Xiaoqiang, 2015.
"One currency, two markets: the renminbi's growing influence in Asia-Pacific,"
China Economic Review, Elsevier, vol. 33(C), pages 163-178.
- Chang Shu & Dong He & Xiaoqiang Cheng, 2014. "One currency, two markets: the renminbi’s growing influence in Asia-Pacific," BIS Working Papers 446, Bank for International Settlements.
- Chang Shu & Dong He & Xiaoqiang Cheng, 2014. "One Currency, Two Markets: The Renminbi's Growing Influence in Asia-Pacific," Working Papers 102014, Hong Kong Institute for Monetary Research.
- Zhang, Qisi & Frömmel, Michael & Baidoo, Edwin, 2024. "Donald Trump's tweets, political value judgment, and the Renminbi exchange rate," International Review of Financial Analysis, Elsevier, vol. 93(C).
- repec:uts:finphd:39 is not listed on IDEAS
- repec:uts:finphd:38 is not listed on IDEAS
- Fei Su, 2018. "Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2018, January-A.
- Plíhal, Tomáš & Lyócsa, Štefan, 2021. "Modeling realized volatility of the EUR/USD exchange rate: Does implied volatility really matter?," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 811-829.
- Hoda SELIM, 2010. "Fear of Floating and Exchange Rate Pass-Through to Inflation in Egypt," EcoMod2010 259600151, EcoMod.
- Tomáš Plíhal, 2021. "Scheduled macroeconomic news announcements and Forex volatility forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(8), pages 1379-1397, December.
- Cheung, Yin-Wong & Hui, Cho-Hoi & Tsang, Andrew, 2018.
"The RMB central parity formation mechanism: August 2015 to December 2016,"
Journal of International Money and Finance, Elsevier, vol. 86(C), pages 223-243.
- Yin-Wong Cheung & Cho-Hoi Hui & Andrew Tsang, 2018. "The RMB Central Parity Formation Mechanism: August 2015 to December 2016," GRU Working Paper Series GRU_2018_010, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
- Ewing, Bradley T. & Malik, Farooq, 2005. "Re-examining the asymmetric predictability of conditional variances: The role of sudden changes in variance," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2655-2673, October.
- Deniz Erdemlioglu & Sébastien Laurent & Christopher J. Neely, 2013.
"Econometric modeling of exchange rate volatility and jumps,"
Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 16, pages 373-427,
Edward Elgar Publishing.
- Deniz Erdemlioglu & Sebastien Laurent & Christopher J. Neely, 2012. "Econometric modeling of exchange rate volatility and jumps," Working Papers 2012-008, Federal Reserve Bank of St. Louis.
- Mark, Joy, 2011. "Gold and the US dollar: Hedge or haven?," Finance Research Letters, Elsevier, vol. 8(3), pages 120-131, September.
- Bauwens, Luc & Dufays, Arnaud & Rombouts, Jeroen V.K., 2014.
"Marginal likelihood for Markov-switching and change-point GARCH models,"
Journal of Econometrics, Elsevier, vol. 178(P3), pages 508-522.
- Luc Luc & Arnaud Dufays & Jeroen V.K. Rombouts, 2011. "Marginal Likelihood for Markov-switching and Change-point Garch Models," CREATES Research Papers 2011-41, Department of Economics and Business Economics, Aarhus University.
- BAUWENS, Luc & DUFAYS, Arnaud & ROMBOUTS, Jeroen V.K., 2014. "Marginal likelihood for Markov-switching and change-point GARCH models," LIDAM Reprints CORE 2533, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Luc Bauwens & Arnaud Dufays & Jeroen Rombouts, 2011. "Marginal Likelihood for Markov-Switching and Change-Point Garch Models," CIRANO Working Papers 2011s-72, CIRANO.
- Luc Bauwens & Arnaud Dufays & Jeroen V.K. Rombouts, 2011. "Marginal Likelihood for Markov-Switching and Change-Point GARCH Models," Cahiers de recherche 1138, CIRPEE.
- BAUWENS, Luc & DUFAYS, Arnaud & ROMBOUTS, Jeroen V.K., 2011. "Marginal likelihood for Markov-switching and change-point GARCH models," LIDAM Discussion Papers CORE 2011013, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Amélie Charles & Olivier Darné & Laurent Ferrara, 2018.
"Does The Great Recession Imply The End Of The Great Moderation? International Evidence,"
Economic Inquiry, Western Economic Association International, vol. 56(2), pages 745-760, April.
- Amélie Charles & Olivier Darné & Laurent Ferrara, 2014. "Does the Great Recession imply the end of the Great Moderation? International evidence," Working Papers hal-04141344, HAL.
- Amélie Charles & Olivier Darné & Laurent Ferrara, 2014. "Does the Great Recession imply the end of the Great Moderation? International evidence," EconomiX Working Papers 2014-21, University of Paris Nanterre, EconomiX.
- Amélie Charles & Olivier Darné & Laurent Ferrara, 2014. "Does the Great Recession imply the end of the Great Moderation? International evidence," Working Papers hal-00952951, HAL.
- Amélie Charles & Olivier Darné & Laurent Ferrara, 2018. "Does the Great Recession imply the end of the Great Moderation? International evidence," Post-Print hal-01757081, HAL.
- Grammatikos, Theoharry & Lehnert, Thorsten & Otsubo, Yoichi, 2015.
"Market perceptions of US and European policy actions around the subprime crisis,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 37(C), pages 99-113.
- Yoichi Otsubo & Theoharry Grammatikos & Thorsten Lehnert, 2012. "Market Perceptions of US and European Policy Actions Around the Subprime Crisis," LSF Research Working Paper Series 12-14, Luxembourg School of Finance, University of Luxembourg.
- Theoharry Grammatikos & Thorsten Lehnert & Yoichi Otsubo, 2014. "Market Perceptions of US and European Policy Actions Around the Subprime Crisis," IMES Discussion Paper Series 14-E-11, Institute for Monetary and Economic Studies, Bank of Japan.
- Chen, Shiyi & Jeong, Kiho & Härdle, Wolfgang Karl, 2008. "Support vector regression based GARCH model with application to forecasting volatility of financial returns," SFB 649 Discussion Papers 2008-014, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- WenShwo Fang & Stephen M. Miller, 2014.
"Output Growth and its Volatility: The Gold Standard through the Great Moderation,"
Southern Economic Journal, John Wiley & Sons, vol. 80(3), pages 728-751, January.
- WenShwo Fang & Stephen M. Miller, 2012. "Output Growth and Its Volatility: The Gold Standard through the Great Moderation," Working Papers 1205, University of Nevada, Las Vegas , Department of Economics.
- WenShwo Fang & Stephen M. Miller, 2012. "Output Growth and Its Volatility: The Gold Standard through the Great Moderation," Working papers 2012-11, University of Connecticut, Department of Economics.
- Frédy Pokou & Jules Sadefo Kamdem & François Benhmad, 2024.
"Hybridization of ARIMA with Learning Models for Forecasting of Stock Market Time Series,"
Computational Economics, Springer;Society for Computational Economics, vol. 63(4), pages 1349-1399, April.
- Frédy Valé Manuel Pokou & Jules Sadefo Kamdem & François Benhmad, 2023. "Hybridization of ARIMA with Learning Models for Forecasting of Stock Market Time Series," Post-Print hal-04312314, HAL.
- Pedrono, Justine, 2022. "The currency channel of the global bank leverage cycle," Journal of International Money and Finance, Elsevier, vol. 126(C).
- Igor LEBRUN & Ludovic DOBBELAERE, 2010. "A Macro-econometric Model for the Economy of Lesotho," EcoMod2010 259600102, EcoMod.
More about this item
Keywords
Renminbi exchange rates; China; Onshore and offshore markets; GARCH models;All these keywords.
JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jimfin:v:59:y:2015:i:c:p:245-262. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/30443 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.