Evolutionary patterns of onshore and offshore Renminbi exchange rates with convexity–concavity indicators
dc.contributor.author
Zhang, Qun
dc.contributor.author
Sornette, Didier
dc.contributor.author
Han, Liyan
dc.date.accessioned
2022-03-17T14:48:03Z
dc.date.available
2021-08-05T03:02:09Z
dc.date.available
2021-09-10T09:02:18Z
dc.date.available
2022-03-17T14:48:03Z
dc.date.issued
2022
dc.identifier.issn
1469-7688
dc.identifier.issn
1469-7696
dc.identifier.other
10.1080/14697688.2021.1921241
en_US
dc.identifier.uri
http://hdl.handle.net/20.500.11850/499517
dc.description.abstract
The China-specific currency market framework of ‘one currency, two markets’ provides us with a unique natural experiment to investigate how the active offshore exchange rate frequently diverges from the onshore exchange rate. From an interdisciplinary perspective, we propose a methodological framework that first establishes four convexity–concavity indicators, and then employ time series clustering/segmentation techniques to explore the evolutionary patterns of the onshore and offshore Renminbi exchange rates from 2 May 2012 to 29 December 2017. The empirical results show that the methodology is able to recognize five scenarios in which the exchange rates behave in an unsupervised manner, arriving at a diagnosis of the evolutionary patterns for these two markets. The estimated inverse covariance matrices and the associated graphical representations highlight the assembled timestamps of clustering assignments and reveal time-invariant structures of the market state, with all the most relevant dependencies directly interconnected in these two markets. It also suggests that intervention operations should take into account investor attention, varying arbitrage opportunities for market participants in both markets. © 2021 Informa UK Limited
en_US
dc.language.iso
en
en_US
dc.publisher
Routledge
en_US
dc.subject
Offshore CNH spot market
en_US
dc.subject
Onshore CNY spot market
en_US
dc.subject
Multivariate time series
en_US
dc.subject
Clustering
en_US
dc.subject
Unsupervised learning
en_US
dc.title
Evolutionary patterns of onshore and offshore Renminbi exchange rates with convexity–concavity indicators
en_US
dc.type
Journal Article
dc.date.published
2021-07-23
ethz.journal.title
Quantitative Finance
ethz.journal.volume
22
en_US
ethz.journal.issue
2
en_US
ethz.pages.start
367
en_US
ethz.pages.end
384
en_US
ethz.code.jel
JEL - JEL::G - Financial Economics::G1 - General Financial Markets
en_US
ethz.code.jel
JEL - JEL::G - Financial Economics::G1 - General Financial Markets::G15 - International Financial Markets
en_US
ethz.identifier.wos
ethz.identifier.scopus
ethz.publication.place
Abingdon
en_US
ethz.publication.status
published
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::03738 - Sornette, Didier (emeritus) / Sornette, Didier (emeritus)
en_US
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::03738 - Sornette, Didier (emeritus) / Sornette, Didier (emeritus)
ethz.date.deposited
2021-08-05T03:02:31Z
ethz.source
WOS
ethz.eth
yes
en_US
ethz.availability
Metadata only
en_US
ethz.rosetta.installDate
2022-03-29T20:40:46Z
ethz.rosetta.lastUpdated
2023-02-07T00:24:37Z
ethz.rosetta.versionExported
true
ethz.COinS
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