Is the Renminbi a Safe Haven?

Rasmus Fatum, Yohei Yamamoto and Guozhong Zhu

No e109, Working Papers from Tokyo Center for Economic Research

Abstract: We investigate the relationship between market uncertainty and the relative value of the Renminbi against currencies that the safe haven literature typically considers as the traditional safe haven currency candidates. Our sample spans the February 2011 to April 2016 period. Band spectral regression models enable us to capture that the relationship between market uncertainty and the relative value of the Renminbi is frequency dependent. While we find evidence of some degree of safe haven currency behavior of the Renminbi during the early part of our sample, our findings do not support the suggestion that the Renminbi is currently a safe haven currency or that the Renminbi is progressing towards safe haven currency status.

Pages: 35 pages
Date: 2016-07
New Economics Papers: this item is included in nep-mon
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Is the Renminbi a safe haven? (2017)
Working Paper: Is the Renminbi a safe haven? (2016)
Working Paper: Is the Renminbi a safe haven?
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