Open AccessExamining the Inter-relationship between RMB Markets
Author(s) -
Jiangze Du
Publication year - 2018
Publication title -
procedia computer science
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.334
H-Index - 76
ISSN - 1877-0509
DOI - 10.1016/j.procs.2018.10.274
Subject(s) - renminbi , granger causality , computer science , exchange rate , vector autoregression , econometrics , financial market , test (biology) , economics , monetary economics , finance , ecology , biology
This paper investigates the inter-relationships between CNH, CNY and NDF exchange rate markets. Through Johansen co-integration test, we found there do exist long term equilibrium relationships between these markets, Then we try to use VAR model and Granger causality test to explore the detail relationships between RMB markets.
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