Analyzing the Cross-Correlation Between Onshore and Offshore RMB Exchange Rates Based on Multifractal Detrended Cross-Correlation Analysis (MF-DCCA)

作者：Xie, Chi^*; Zhou, Yingying; Wang, Gangjin; Yan, Xinguo

来源：Fluctuation and Noise Letters, 2017, 16(1): 1750004.

DOI：10.1142/S0219477517500043

• Econophysics
• onshore RMB
• offshore RMB
• exchange rate
• multifractal detrended cross-correlation analysis
• rolling windows analysis

We use the multifractal detrended cross-correlation analysis (MF-DCCA) method to explore the multifractal behavior of the cross-correlation between exchange rates of onshore RMB (CNY) and offshore RMB (CNH) against US dollar (USD). The empirical data are daily prices of CNY/ USD and CNH/ USD from May 1, 2012 to February 29, 2016. The results demonstrate that: (i) the cross-correlation between CNY/ USD and CNH/ USD is persistent and its fluctuation is smaller when the order of fluctuation function is negative than that when the order is positive; (ii) the multifractal behavior of the cross-correlation between CNY/ USD and CNH/ USD is significant during the sample period; (iii) the dynamic Hurst exponents obtained by the rolling windows analysis show that the cross-correlation is stable when the global economic situation is good and volatile in bad situation; and (iv) the non-normal distribution of original data has a greater effect on the multifractality of the cross-correlation between CNY/ USD and CNH/ USD than the temporary correlation.

• 出版日期2017-3
• 单位湖南大学