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The China-specific currency market framework of ‘one currency, two markets’ provides us with a unique natural experiment to investigate how the active offshore exchange rate frequently diverges from the onshore exchange rate. From an interdisciplinary perspective, we propose a methodological framework that first establishes four convexity–concavity indicators, and then employ time series clustering/segmentation techniques to explore the evolutionary patterns of the onshore and offshore Renminbi exchange rates from 2 May 2012 to 29 December 2017. The empirical results show that the methodology is able to recognize five scenarios in which the exchange rates behave in an unsupervised manner, arriving at a diagnosis of the evolutionary patterns for these two markets. The estimated inverse covariance matrices and the associated graphical representations highlight the assembled timestamps of clustering assignments and reveal time-invariant structures of the market state, with all the most relevant dependencies directly interconnected in these two markets. It also suggests that intervention operations should take into account investor attention, varying arbitrage opportunities for market participants in both markets.

Evolutionary patterns of onshore and offshore Renminbi exchange rates with convexity–concavity indicators