英文标题：
《Time-dependent lead-lag relationship between the onshore and offshore
Renminbi exchange rates》
---
作者：
Hai-Chuan Xu (ECUST), Wei-Xing Zhou (ECUST), Didier Sornette (ETH
Zurich)
---
最新提交年份：
2018
---
英文摘要：
We employ the thermal optimal path method to explore both the long-term and short-term interaction patterns between the onshore CNY and offshore CNH exchange rates (2012-2015). For the daily data, the CNY and CNH exchange rates show a weak alternate lead-lag structure in most of the time periods. When CNY and CNH display a large disparity, the lead-lag relationship is uncertain and depends on the prevailing market factors. The minute-scale interaction pattern between the CNY and CNH exchange rates change over time according to different market situations. We find that US dollar appreciation is associated with a lead-lag relationship running from offshore to onshore, while a (contrarian) Renminbi appreciation is associated with a lead-lag relationship running from onshore to offshore. These results are robust with respect to different sub-sample analyses and variations of the key smoothing parameter of the TOP method.
---
中文摘要：
我们采用热最优路径方法探索了在岸人民币和离岸人民币汇率（2012-2015）之间的长期和短期互动模式。就每日数据而言，人民币和CNH汇率在大多数时间段显示出微弱的交替超前-滞后结构。当CNY和CNH表现出较大差异时，超前-滞后关系是不确定的，并且取决于当前的市场因素。根据不同的市场情况，人民币和人民币汇率之间的分钟互动模式会随着时间的推移而变化。我们发现，美元升值与从离岸到离岸的超前-滞后关系相关，而（反向）人民币升值与从离岸到离岸的超前-滞后关系相关。这些结果对于不同的子样本分析和TOP方法关键平滑参数的变化具有鲁棒性。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
--

---
PDF下载：
-->