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- W1558576933 abstract "Our results also show that interest rate differentials between Chinese three month securities and the US Federal Funds rate play little role in this process. They neither respond to Euro appreciation, nor do they significantly affect movements in NDF premia and Series A share prices. We find these empirical results to be quite robust to alternative empirical methods based on traditional vector autoregressions (known as VARs) and Bayesian adaptations of this methods (known as BVARs). The results are also robust to tests based solely on in-sample estimation as well as tests based on out-of-sample forecasting methods. Finally, while both the VAR and BVAR methods deliver similar results, the BVAR method is more effective for out-of-sample forecasting accuracy, relative to the more widely used VAR approach." @default.
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- W1558576933 date "2006-01-01" @default.
- W1558576933 modified "2023-10-05" @default.
- W1558576933 title "Renminbi Revaluation, Euro Appreciation and Chinese Markets: What Can We Learn from Data?" @default.
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- W1558576933 doi "https://doi.org/10.2139/ssrn.1008218" @default.
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