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- W1931113913 abstract "We apply a new model selection approach that allows for the joint determination of structural breaks and cointegration to examine the term structure of Chinese Renminbi (RMB)‐U.S. dollar spot and forward exchange rates during the managed‐floating period of 2005–2013. We find that the RMB market has exhibited different dynamic relationships between spot and forward exchange rates over time, apparently due to significant policy changes. Offshore forward rates with either shorter or longer maturities can substantially explain the in‐sample variation of the onshore spot exchange rate at longer horizons, while only the offshore forward rate with a shorter maturity can significantly predict RMB onshore spot rate changes out‐of‐sample. © 2015 Wiley Periodicals, Inc. Jrl Fut Mark 36:695–718, 2016" @default.
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- W1931113913 date "2015-09-18" @default.
- W1931113913 modified "2023-10-08" @default.
- W1931113913 title "Information Flow Between Forward and Spot Markets: Evidence From the Chinese Renminbi" @default.
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- W1931113913 doi "https://doi.org/10.1002/fut.21753" @default.
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