学術雑誌論文

本学関連学会

text

大阪大学経済学. 2025, 75(1・2), p. 1-19

The forecast utility of onshore and offshore RMB spread skewness : Taking Hong Kongʼs offshore market as an example

He, Xinying

英語

text

2025-09

This paper investigates the dynamic effects of price skewness on the spread between offshore and onshore RMB exchange rates, an area underexplored in existing literature. As the RMB has gained increasing importance as a global currency, understanding its pricing mechanisms, particularly in the context of the offshore RMB market in Hong Kong, has become crucial. Using an autoregressive (AR) model, this study analyzes the persistence of skewness in the RMB price spread and its predictive power over both short and long-term horizons. Our findings reveal significant persistence in spread skewness, with peak predictive power occurring within a one-month window. Additionally, the analysis demonstrates that incorporating skewness into forecasting models improves predictive accuracy compared to random-walk models. The study also highlights the impact of market shocks, such as the 2018 trade war and the 2020 pandemic, on skewness-based predictions. This research provides valuable insights into the role of skewness in the RMB exchange rate market and contributes to the broader understanding of skewness strategies in currency markets.

10.18910/102768

102768

The forecast utility of onshore and offshore RMB spread skewness : Taking Hong Kongʼs offshore market as an example

He, Xinying

大阪大学経済学会・大阪大学大学院経済学研究科

英語

2025-09

大阪大学経済学

75

1・2

1

19

https://hdl.handle.net/11094/102768

10.18910/102768

https://doi.org/10.18910/102768