This article presents a comprehensive examination of technical trading rules in the Chinese yuan-based foreign exchange market. The investigation employs daily data spanning seven years for 14 developed and 10 emerging market currencies. The analysis encompasses a vast universe of 41,660 trading rules, representing a significant expansion over the previous studies. The stepwise tests, which was employed to address the data-snooping bias, discover excess profitability in at least half of the developed and emerging currencies, implying the heterogeneous market efficiency across currencies. Our results are robust to sub-sample analysis and different parameter values of the stepwise tests.

In this paper, we show that only the systematic component of exchange rate expectations of professional investors is a strong predictor of the cross-section of currency returns. The predictability is strong in short and long horizons. The strategy offers significant Sharpe ratios for holding periods of 1 to 12 months, and it is unrelated to existing currency investment strategies, including risk-based currency momentum. The results hold for forecast horizons of 3, 12, and 24 months, and they are robust after accounting for transaction costs. The idiosyncratic component of currency expectations does not contain important information for the cross-section of currency returns. Our strategy is more significant for currencies with low sentiment and it is not driven by volatility and illiquidity. The results are robust when we extract the systematic component of the forecasts using a larger number of predictors.

We develop novel high-frequency indices that measure climate attention, covering a wide range of both developed and emerging economies. This is achieved by analyzing the text of over 23 million tweets published by leading national newspapers on Twitter during the period from 2014 to 2022. Our findings reveal that a country experiencing more severe climate news shocks tends to see both an inflow of capital and an appreciation of its currency. In addition, brown stocks in highly exposed countries experience large and persistent negative returns after a global climate news shock. These outcomes align with the predictions of a risk-sharing model in which investors price climate news shocks and trade consumption and investment goods in global markets

　　　计价货币（Invoice Currency）是国际货币(International Currency)在私人部门作为价值基础的重要职能，其在国际贸易中的结算比率也是判断某种货币国际化程度的重要指标之一。本文根据既有的计价货币选择理论，在对96家江苏省出口企业进行问卷调查的基础上，通过构建Probit个体二分变量计量模型，在价格政策制定这一微观层面上对企业以人民币计价出口的决定要因进行了详细的实证研究。实证分析表明：企业类型为跨国公司关联企业或出口加工型企业、企业出口产品为半成品的，与企业以人民币计价出口呈显著或较为显著的正相关关系；而企业出口地为美国或欧元区国家以及其他发达国家的，则与之呈较为显著的负相关关系。这一结果表明：从促进人民币国际化的角度来看，有必要进一步开放人民币的资本项目的管制，方便跨国公司一类企业进行一定的人民币理财活动，促使其使用人民币计价结算。此外，在货币之间的国际化及国际货币化是否存在有排他性竞争关系明确之前，有必要对其他国家货币的国际化或国际货币化保持警惕。 Invoice Currency is one of the important functions of international currency as a value basis in the private sector。The ratio of one currency as a settlement currency in international trade is also an important index of its degree of internationalization. According to the existing theories of the invoicing currency choice，and on the basis of a questionnaire survey of 96 export enterprises in Jiangsu Province, this paper builds a bivariate probit model with sample selection. From the perspective of price policy making, this article carries out a detailed empirical study on the determinants of the enterprises in RMB-denominated export. The empirical analysis shows that some enterprises have significant positive correlation with RMB-denominated export while others have negative correlation. The formers are enterprises with types of multinational affiliates or export processing enterprises, and with exporting products of the semi-finished products; while the latters are enterprises exporting to the United States, the euro-zone countries or other developed countries. This result suggests that when considering promoting the internationalization of the RMB, the capital control in China should be further released. Therefore, if multinational enterprises could carry out RMB financing, they would promote the use of RMB in trade invoicing and as a settlement currency. In addition, it's not clear whether an exclusive competition exists between the currencies that are in their paths of internationalization and becoming an international currencies. So, it's necessary to remain vigilant on other countries' currency internationalization or the internationalization of the currency.

In order to examine the new RMB exchange rate regime rigorously, we employ the STARTZ model to investigate the behavior of RMB NEER from June 1, 2006 to May 30, 2008, We find that a managed float with a target central parity and without an explicit band best describes the daily movement of the exchange rate between RMB and a basket of currencies. We also find some peculiar attributes of the RMB NEER such as small conditional variance and stronger effects of government interventions in foreign exchange market.

Vertical fragmentation of product value chain across borders is the driving force of growing economic interdependency in East Asia. A common currency, not flexible exchange rates between national currencies, would reduce flexibility in relative prices within East Asia. Its impact would be far greater for exports that have stronger production network linkage. In order to test the hypothesis, the paper estimates the effect of a common currency on China's processing and ordinary exports separately. The distinction is necessary because the processing exports, unlike the ordinary exports, are produced along the regional production networks, with final stages of assembly and exporting being increasingly concentrated in China. The short-run dynamics indicate that the effect on China's processing exports is more than double the corresponding effect on China's ordinary exports. The long-run effect on the processing exports of intra-regional RER flexibility, which is otherwise the lack of a regional currency, is almost nine times as large as the long-run effect of a unilateral RMB appreciation. By contrast, the corresponding long-run effect is statistically insignificant for the case of ordinary exports that are produced primarily by using local inputs. The long-run coefficient of this intra-regional RER flexibility implies that the actual volume of processing exports is 20 percent below the potential. The magnitudes of these effects are consistent with the hypothesis that a common currency would further integrate East Asian production networks and promote regional economic integration.

This paper examines the currency exposure and exchange rate risk management at Chinese textile and apparel exporters. Chinese exporting firms have large net exposure to the US dollar. On average a 10 percent increase in the value of the renminbi against the dollar would reduce net revenues by 5.4 percent if the firms left prices unchanged. This large exposure is driven heavily by the choice of export pricing currency by the firms. The regional distribution of sales is more balanced across the major export markets of the US, EU, and Japan. However many firms are unaware of their indirect currency risk to currencies other than the dollar and most firms undertake little or no activities to hedge their foreign currency exposure, direct or indirect. The large dollar exposure of Chinese exporters may help explain the reluctance of the People's Bank of China to allow the RMB to undergo a rapid appreciation against the dollar.

This study employs a non-parametric approach to investigate the volatility risk premium in the major over-the-counter currency option markets. Using a large database of daily quotes on delta neutral straddle in four major currencies ? the British Pound, the Euro, the Japanese Yen, and the Swiss Franc ? we find that volatility risk is priced in all four currencies across different option maturities and the volatility risk premium is negative. The volatility risk premium has a term structure where the premium decreases in maturity. We also find evidence that jump risk may be priced in the currency option market.

This study employs a non-parametric approach to investigate the volatility risk premium in the over-the-counter currency option market. Using a large database of daily quotes on delta neutral straddle in four major currencies ? the British Pound, the Euro, the Japanese Yen, and the Swiss Franc ? we find that volatility risk is priced in all four currencies across different option maturities and the volatility risk premium is negative. The volatility risk premium has a term structure where the premium decreases in maturity. We also find evidence that jump risk may be priced in the currency option market.

Firms, which trade in today’s open economy often involved multi-currency transactions, will have their stock returns influenced by traded transaction currencies variations. Frequently, these firms also use derivatives for either active (hedging and speculative) or passive (hedging) currency risk management. It is therefore nontrivial to analyse empirically for these firms the relationship between stock return, currency risk exposure, and the motive of their derivatives use. This paper aims to test the relationships, via a two-factor market return model, which is based on the Arbitrage Pricing Theory (Ross, 1976). Descriptive and Inferential statistical tests are implemented on published accounting data (cross sectional and time series) for 69 Australian listed firms excluding non-financial institutions. Statistical test results reveal that there is a weak positive relationship between stock return and currency risk exposure level. The test results also suggest a negative relationship between the currency risk level and the motive (either hedging, speculative or both) of derivatives use. These findings are consistent with the modern finance theory.