TY - JOUR
T1 - Cross-correlations between RMB exchange rate and international commodity markets
AU - Lu, Xinsheng
AU - Li, Jianfeng
AU - Zhou, Ying
AU - Qian, Yubo
PY - 2017/11/15
Y1 - 2017/11/15
N2 - This paper employs multifractal detrended analysis (MF-DFA) and multifractal detrended cross-correlation analysis (MF-DCCA) to study cross-correlation behaviors between China's RMB exchange rate market and four international commodity markets, using a comprehensive set of data covering the period from 22 July 2005 to 15 March 2016. Our empirical results from MF-DFA indicate that the RMB exchange rate is the most inefficient among the 4 selected markets. The results from quantitative analysis have testified the existence of cross-correlations and the result from MF-DCCA have further confirmed a strong multifractal behavior between RMB exchange rate and international commodity markets. We also demonstrate that the recent financial crisis has significant impact on the cross-correlated behavior. Through the rolling window analysis, we find that the RMB exchange rates and international commodity prices are anti-persistent cross-correlated. The main sources of multifractality in the cross-correlations are long-range correlations between RMB exchange rate and the aggregate commodity, energy and metals index.
AB - This paper employs multifractal detrended analysis (MF-DFA) and multifractal detrended cross-correlation analysis (MF-DCCA) to study cross-correlation behaviors between China's RMB exchange rate market and four international commodity markets, using a comprehensive set of data covering the period from 22 July 2005 to 15 March 2016. Our empirical results from MF-DFA indicate that the RMB exchange rate is the most inefficient among the 4 selected markets. The results from quantitative analysis have testified the existence of cross-correlations and the result from MF-DCCA have further confirmed a strong multifractal behavior between RMB exchange rate and international commodity markets. We also demonstrate that the recent financial crisis has significant impact on the cross-correlated behavior. Through the rolling window analysis, we find that the RMB exchange rates and international commodity prices are anti-persistent cross-correlated. The main sources of multifractality in the cross-correlations are long-range correlations between RMB exchange rate and the aggregate commodity, energy and metals index.
KW - Energy markets
KW - Impulse response function
KW - PBOC monetary policy
KW - RMB foreign exchange rate
UR - http://www.scopus.com/inward/record.url?scp=85020386106&partnerID=8YFLogxK
U2 - 10.1016/j.physa.2017.05.088
DO - 10.1016/j.physa.2017.05.088
M3 - Article
AN - SCOPUS:85020386106
SN - 0378-4371
VL - 486
SP - 168
EP - 182
JO - Physica A: Statistical Mechanics and its Applications
JF - Physica A: Statistical Mechanics and its Applications
ER -