News announcements and price discovery in the RMB–USD market

被引：0
|
作者：
Yu-Lun Chen
机构：
[1] Chung Yuan Christian University,Department of Finance, College of Business
来源：
Review of Quantitative Finance and Accounting | 2020年 / 54卷
关键词：
Price discovery; USD/CNH; Central parity quotations; Macroeconomic news announcements; F31; F38; G15;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
This study investigates the impact of improved central parity quotations in the Chinese Renminbi on price discovery in onshore (USD/CNY) and offshore (USD/CNH) markets. Chinese news releases refer to the gross domestic product, trade balances, and foreign exchange reserves; U.S. news features information on the meetings, statements, and minutes of the Federal Open Market Committee. They all have positive impacts on price discovery in the USD/CNH market. The greater contribution by the USD/CNH market to price discovery can be attributed to an improved quotation policy, which has enabled central parity to incorporate and transmit more USD/CNH information to the USD/CNY market.
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页码：1487 / 1508
页数：21
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