Modelling Co-movement between Onshore and Offshore RMB Exchange Rate Based on Copula

DOI

10.2991/aiie-15.2015.89How to use a DOI?

Keywords

copula; RMB exchange rate; dependence modelling

Abstract

This paper investigates the dependence of the exchange rate of Onshore RMB and Offshore RMB against U.S. dollar, i.e. CNY and CNH, based on copula models. We select ten different copulas to construct multivariate distribution for RMB exchange rate. The empirical results show that time-invariant Student-t copula is the best model to fit the sample data. The positive of upper and lower dependence indicates that CNY and CNH series tend to move in the same direction. Also, the results indicate that the dependence between the two exchange rates is time-invariant and symmetric, which means that traditional models such as Pearson’s correlation are inappropriate to measure the correlations between these markets.

Copyright

© 2015, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Download article (PDF)

TY  - CONF
AU  - J.Z. Du
AU  - K.K. Lai
PY  - 2015/07
DA  - 2015/07
TI  - Modelling Co-movement between Onshore and Offshore RMB Exchange Rate Based on Copula
BT  - Proceedings of the 2015 International Conference on Artificial Intelligence and Industrial Engineering
PB  - Atlantis Press
SP  - 318
EP  - 321
SN  - 1951-6851
UR  - https://doi.org/10.2991/aiie-15.2015.89
DO  - 10.2991/aiie-15.2015.89
ID  - Du2015/07
ER  -