KeywordsCNY-CNH spreadSkewnessPredictabilityExchange rateThis paper aims to explore the predictive ability of skewness on CNY-CNH spread. We first prove positive effect of skewness with and without control variables under in-sample analysis. We further demonstrate the predictive power of skewness exists...
首先你onshore offshore都得有trading book，普遍認為人民幣總有一天會完全自由兌換，屆時，cnh和cny將會變成同一種貨幣，所以當usdcnh和usdcny的差價較大的時候，就可以bet 他們會converge，這就是所謂的cnh cny arb，風險在於，如果spread變大，mark to market會有損失。
As can be seen in the second table below, the CNH mid-market rate is favourable if converting compared to the CNY mid-market rate. Despite this, the spread charged by most US banks (based on our own experience this is usually ~ 3%) means that it would still better...
Stocks mentioned in the article Add to a list Price Change 5d. change Capi. US DOLLAR / CHINESE OFFSHORE YUAN 7.1486 CNH +0.09% +0.20% - BANK OF CHINA LIMITED 3.690 HKD -2.12% -1.86% 185BLatest news about Bank of China Limited ...
economy is allowed to trade in a band of +/- 2% around a daily “fixing” rate defined by the China Foreign Exchange Trade System (CFETS), an arm of the central bank. This is distinct from the USD/CNH offshore exchange rate transacted out of Hong Kong, which is allowed to float ...
(Graph 1) 1 进入三季度,人民币对美元汇率趋稳, During the 3rd quarter, RMB exchange rate 一篮子货币汇率指数止跌反弹,离岸市场与 against USD was becoming stable, the spread 在岸市场汇差总体趋向缩小,在岸市场人民 between CNH and CNY became narrowed and the CNY/USD was generally stronger than 币...
圖 1:3 個月 SHIBOR 及 LIBOR 走勢及利差 圖 2:CNY 及 CNH 兌美元匯率走勢及匯差 圖表資料來源:Bloomberg III 人民幣兌美元持續貶值後反彈啟穩, 境內外匯差有縮小趨勢.本季度大部分 時間 CNH 與 CNY 延續較大幅度的匯 差,但季度末匯差明顯收窄.(圖 2) III After continuous deprecation against USD, ...
图 1:3 个月 SHIBOR 及 LIBOR 走势及利差 图 2:CNY 及 CNH 兑美元汇率走势及汇差 图表数据来源:Bloomberg III 人民币兑美元持续贬值后反弹启稳, III After continuous deprecation against USD, 境内外汇差有缩小趋势.本季度大部分 RMB exchanged rate strengthened this quarter 时间 CNH 与 CNY 延续较大幅度...
It was around that period that concerns about slowing manufacturing activity and a weakening Chinese currency threw global markets into chaos, leading to a nearly 20% drop in the Shanghai composite index and the worst first week of the year for U.S. equities on record. Of course, slowing ...
首先你onshore offshore都得有trading book，普遍認為人民幣總有一天會完全自由兌換，屆時，cnh和cny將會變成同一種貨幣，所以當usdcnh和usdcny的差價較大的時候，就可以bet 他們會converge，這就是所謂的cnh cny arb，風險在於，如果spread變大，mark to market會有損失。由于...