Characterizing information flows among spot, deliverable forward and non-deliverable forward exchange rate markets: A cross-country comparison

Wang, Kaili; Fawson, Christopher; Chen, Mei‐Ling; Wu, An-Chi

doi:10.1016/j.pacfin.2014.01.002

Cited by 11 publications

(11 citation statements)

References 37 publications

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“…markets. One-month forward contracts are employed in this article because they have the largest trading volume among the different maturities (Wang et al, 2014). C.N.Y.…”

Section: Data and Empirical Resultsmentioning

confidence: 99%

“…appreciation or depreciation (Liang & Gao, 2012). This is particularly apparent in the cross-border flows of investment and trade in emerging economies (Wang et al, 2014). For C.N.Y.…”

Section: Data and Empirical Resultsmentioning

confidence: 99%

“…to domestic currency or financial markets in Korea. Wang, Fawson, Chen, and Wu (2014) found that spot and N.D.F. markets are related to each other with price feedback effects in Korea.…”

Section: Literature Reviewmentioning

confidence: 98%

See 2 more Smart Citations

Can onshore spot market progress influence offshore N.D.F. market development for the C.N.Y?

Wang

Zhang

et al. 2019

Economic Research-Ekonomska Istraživanja

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This study utilises a time-varying wavelet analysis to examine the relationship between the onshore spot market and the offshore non-deliverable forward (N.D.F.) market of the Chinese Yuan (C.N.Y.). Given the presence of structural changes in the two markets, we did not find any stable causality during the sample period. However, in some sub-samples, we found that there is a strong nonlinear causal relationship running from the onshore spot market to the offshore N.D.F. market. Ties between the two markets are closer after the widening of the onshore trading band, first in April 2012, second in March 2014 and again in August 2015. The onshore spot market is heavily influenced by interventions by the People's Bank of China (P.B.C.). These findings imply that offshore N.D.F. market development is not divorced from onshore development, as developments in the onshore spot market influence the offshore N.D.F. market. The results show that the exchange rate markets for the C.N.Y. are not efficient. Thus, to successfully internationalise the C.N.Y., financial expansion of the onshore spot market should keep pace with the growing offshore N.D.F. market to minimise destabilisation of the C.N.Y.

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“…markets. One-month forward contracts are employed in this article because they have the largest trading volume among the different maturities (Wang et al, 2014). C.N.Y.…”

Section: Data and Empirical Resultsmentioning

confidence: 99%

“…appreciation or depreciation (Liang & Gao, 2012). This is particularly apparent in the cross-border flows of investment and trade in emerging economies (Wang et al, 2014). For C.N.Y.…”

Section: Data and Empirical Resultsmentioning

confidence: 99%

See 1 more Smart Citation

Can onshore spot market progress influence offshore N.D.F. market development for the C.N.Y?

Wang

Zhang

et al. 2019

Economic Research-Ekonomska Istraživanja

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show abstract

“…Ghosh [28] has compared the effects of exchange rate regime choice in emerging markets with advanced and low-income nations for 1999-2011. Wang et al [29] have compared the characterizing information flows among spot, deliverable forward and non-deliverable forward exchange rate markets: A cross-country comparison. Razavi et al [30] have compared the circuit patency and exchange rates between two different continuous renal replacement therapy machines.…”

Section: Introductionmentioning

confidence: 99%

Comparison of Four Interval ARIMA-base Time Series Methods for Exchange Rate Forecasting

Khashei

Montazeri²,

Bijari³

2015

IJMSC

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In today's world, using quantitative methods are very important for financial markets forecast, improvement of decisions and investments. In recent years, various time series forecasting methods have been proposed for financial markets forecasting. In each case, the accuracy of time series methods fundamental to make decision and hence the research for improving the effectiveness of forecasting models have been curried on. In the literature, Many different time series methods have been frequency compared together in order to choose the most efficient once. In this paper, the performances of four different interval ARIMA-base time series methods are evaluated in financial markets forecasting. These methods are including Auto-Regressive Integrated Moving Average (ARIMA), Fuzzy Auto-Regressive Integrated Moving Average (FARIMA), Fuzzy Artificial Neural Network (FANN) and Hybrid Fuzzy Auto-Regressive Integrated Moving Average (FARIMAH). Empirical results of exchange rate forecasting indicate that the fuzzy artificial neural network model is more satisfactory than other models.

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“…The observation of focusing on a single forward rate rather than term structure of forward rates applies to studies on other emerging currencies. See Wang et al () for an example. The (forecast error variance decomposition) results from this study suggest that much information from forward rates with different maturities could be mistakenly ignored.…”

mentioning

confidence: 99%

Information Flow Between Forward and Spot Markets: Evidence From the Chinese Renminbi

Tong

Wang

Yang

2015

Journal of Futures Markets

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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

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Characterizing information flows among spot, deliverable forward and non-deliverable forward exchange rate markets: A cross-country comparison

Cited by 11 publications

References 37 publications

Can onshore spot market progress influence offshore N.D.F. market development for the C.N.Y?

Can onshore spot market progress influence offshore N.D.F. market development for the C.N.Y?

Comparison of Four Interval ARIMA-base Time Series Methods for Exchange Rate Forecasting

Information Flow Between Forward and Spot Markets: Evidence From the Chinese Renminbi

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