ahybridapproachforstudyingtheleadlagrelationshipsbetweenchinasonshoreandoffshoreexchangeratesconsideringtheimpactofextremeevents | |
Wei Yunjie2![]() ![]() | |
刊名 | journalofsystemsscienceandcomplexity
![]() |
2018 | |
卷号 | 31期号:3页码:734 |
ISSN号 | 1009-6124 |
英文摘要 | Understanding the characteristics of the dynamic relationship between the onshore Renminbi(CNY)and the offshore Renminbi(CNH)exchange rates considering the impact of some extreme events is very important and it has wide implications in several areas such as hedging.For better estimating the dynamic relationship between CNY and CNH,the Granger-causality test and Bry-Boschan Business Cycle Dating Algorithm were employed in this paper.Due to the intrinsic complexity of the lead-lag relationships between CNY and CNH,the empirical mode decomposition(EMD)algorithm is used to decompose those time series data into several intrinsic mode function(IMF)components and a residual sequence,from high to low frequency.Based on the frequencies,the IMFs and a residual sequence are combined into three components,identified as short-term composition caused by some market activities,medium-term composition caused by some extreme events and the long-term trend.The empirical results indicate that when it only matters the short-term market activities,CNH always leads CNY;while the medium-term impact caused by those extreme events may alternate the lead-lag relationships between CNY and CNH. |
语种 | 英语 |
内容类型 | 期刊论文 |
源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/38529] ![]() |
专题 | 系统科学研究所 |
作者单位 | 1.School of Finance,Central University of Finance and Economics 2.中国科学院数学与系统科学研究院 3.International Business School,Shaanxi Normal University |
推荐引用方式 GB/T 7714 | Wei Yunjie,Wei Qi,Wang Shouyang,et al. ahybridapproachforstudyingtheleadlagrelationshipsbetweenchinasonshoreandoffshoreexchangeratesconsideringtheimpactofextremeevents[J]. journalofsystemsscienceandcomplexity,2018,31(3):734. |
APA | Wei Yunjie,Wei Qi,Wang Shouyang,&Lai Kin Keung.(2018).ahybridapproachforstudyingtheleadlagrelationshipsbetweenchinasonshoreandoffshoreexchangeratesconsideringtheimpactofextremeevents.journalofsystemsscienceandcomplexity,31(3),734. |
MLA | Wei Yunjie,et al."ahybridapproachforstudyingtheleadlagrelationshipsbetweenchinasonshoreandoffshoreexchangeratesconsideringtheimpactofextremeevents".journalofsystemsscienceandcomplexity 31.3(2018):734. |
个性服务 |
查看访问统计 |
相关权益政策 |
暂无数据 |
收藏/分享 |
除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。
修改评论