Is the Renminbi a Safe Haven?
Is the Renminbi a Safe Haven?
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DOI：
10.24149/gwp276
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发表时间：
2016-06
期刊：
影响因子：
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通讯作者：
Rasmus Fatum;Yohei Yamamoto;Guozhong Zhu
中科院分区：
文献类型：
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作者：
Rasmus Fatum;Yohei Yamamoto;Guozhong Zhu
我们研究了市场不确定性与离岸市场人民币兑避险文献通常认为是传统避险货币候选货币的相对价值之间的关系。我们的样本涵盖 2011 年 2 月至 2017 年 5 月期间。频带谱回归模型使我们能够捕捉到市场不确定性与人民币相对价值之间的关系是频率相关的。虽然我们在样本的早期发现了人民币某种程度的避险货币行为的证据，但我们的研究结果并不支持人民币目前是避险货币或人民币正在向避险货币地位迈进的建议。
We investigate the relationship between market uncertainty and the relative value of the Renminbi in the offshore market against currencies that the safe haven literature typically considers as the traditional safe haven currency candidates. Our sample spans the February 2011 to May 2017 period. Band spectral regression models enable us to capture that the relationship between market uncertainty and the relative value of the Renminbi is frequency dependent. While we find evidence of some degree of safe haven currency behavior of the Renminbi during the early part of our sample, our findings do not support the suggestion that the Renminbi is currently a safe haven currency or that the Renminbi is progressing towards safe haven currency status.