Seminar "Assessing the CNH-CNY pricing differential: role of fundamentals, contagion and policy" 18. mail
- Aeg:18.05.15 - 18.05.15
Esmaspäeval, 18. mail kell 14.00 toimub ruumis SOC-415 majandusteaduskonna teadusseminar teemal "Assessing the CNH-CNY pricing differential: role of fundamentals, contagion and policy".
Seminar toimub inglise keeles.
Michael Funke, Department of Economics, Hamburg University (co-authors Chang Shu, Bank for International Settlements; Xiaoqiang Cheng, Hong Kong Monetary Authority; Sercan Eraslan, Hamburg University) will present: "Assessing the CNH-CNY pricing differential: role of fundamentals, contagion and policy"
Abstract: Renminbi internationalisation has brought about an active offshore market where the exchange rate frequently diverges from the onshore market. Using extended GARCH models, we explore the role of fundamentals, global factors and policies related to renminbi internationalisation in driving the pricing differential between the onshore and offshore exchange rates. Differences in the liquidity of the two markets play an important role in explaining the level of the differential, while rises in global risk aversion tend to increase the differential’s volatility. On the policy front, measures permitting cross-border renminbi outflows have a particularly discernible impact in reducing the volatility of the pricing gap between the two markets.
Lisainfo karsten dot staehr at ttu dot ee