Dependence Structure Between Renminbi Movements and Volatility of Foreign Exchange Rate Returns

Abstract

This article investigates the linkages of the movements in Renminbi (RMB) to volatility of exchange rate returns of other currencies before and after the yuan devaluation on 11 August 2015. A comparison between the onshore Chinese yuan (CNY) and the offshore Chinese yuan (CNH) is made. Standard regression methods underestimate the tail dependence between yuan and other exchange rate volatility, as financial data are non-normally distributed, especially when extreme event occurs. We apply Gumbel copulas to capture the presence of tail dependence between RMB returns and the volatility of exchange rate returns for 13 selected currencies, and found dependencies not revealed by the standard ARCH models. The tail dependence has increased after the RMB devaluation, suggesting that RMB depreciation is associated with higher downside risks in these currencies. This is most obvious in the currencies of Asian and ASEAN-5 countries that have strong trade and financial linkages with China. The dependence structure has shifted away from the dominance of onshore CNY rates before the devaluation to the growing importance of more volatile offshore CNH rates after the devaluation. Hence, any large depreciation in CNH will lead to a higher volatility in the other exchange rate returns, and the corresponding downside currency risks are higher than those of the CNY.

Taking chiral polymers toward immune regulation

“…The coating process is an easy and efficient technique compared to the chemical grafting process to produce chiral polymer films on a pre‐existing substrate, such as gold, silicon wafers, glass slides and mica. The surface coating processes such as spin coating, drop‐casting, and dip‐coating are widely used in materials science to make thin films 16 . A range of chiral polymers can be easily fabricated into polymer films on flat or spherical substrates by this method for a variety of uses 34–36 .…”

“…Synthesis of chiral polymers has been increased after learning about the naturally occurring polymers such as nucleic acids and proteins. Two types of chirality usually show by chiral polymers, that is, main‐chain and side‐chain chirality 16 . The existence of chirality in synthetic polymers alike in the polysaccharides, polypeptides, and helical DNA originates primarily from the existence of chiral carbon atoms or a helical structure in the main chain.…”