中国金融学术研究网

所属栏目：资本市场/外汇市场与汇率

DOI号：https://doi.org/10.1016/j.finr.2025.100071

How do China's categorical economic policy uncertainties affect the long-term correlation between onshore and offshore RMB exchange rates

认领作者认领作者管理权限

发布日期：2026年05月27日上次修订日期：2026年05月27日

马丽冬 jnmld@stu2021.jnu.edu.cn 暨南大学金融系熊又林 xiongyoulin511@163.com 暨南大学金融系沈军 jnshenjun@163.com 暨南大学金融系

摘要

Economic policy uncertainty is a key determinant of exchange rate stability. This study investigates the impact of China's categorical economic policy uncertainties on the long-term correlation between onshore (CNY) and offshore (CNH) Renminbi (RMB) exchange rates. We find that fiscal policy uncertainty (FPU), monetary policy uncertainty (MPU), and exchange rate and capital account uncertainty (EXRPU) have a significant negative effect on this correlation, while trade policy uncertainty (TPU) has no significant impact. Furthermore, CNY and CNH do not effectively diversify risks and provide only limited hedging benefits.

展开

关键词：

CNH CNY DCC-MIDAS-X Economic policy uncertainty

下载论文在线阅读

复制链接

新浪微博

微信扫一扫

论文统计数据

浏览次数：
7
下载次数：
0

相关文献

1Quiet Quitting or Working Hard: Economic Policy Uncertainty and Analysts’ Earnings Forecasts 2I Am Who I Am, Share Repurchases Under Economic Policy Uncertainty: Evidence from China 3Short-Term and Long-Term Effects of Chinese and Global Economic Policy Uncertainty and Geopolitical Risks on Chinese Tourism 4Dialect Diversity, Uncertainty and Corporate Investment Efficiency 5Macroeconomic determinants of the long-term correlation between stock and exchange rate markets in China: A DCC-MIDAS-X approach considering structural breaks 6Why Do Firms Purchase Directors’ and Officers’ Liability Insurance? – Perspective from Economic Policy Uncertainty 7Corporate default risk and environmental deterioration: international evidence