Dynamic and Asymmetric Dependences between Chinese Yuan and Other Asia-Pacific Currencies

Journal of Futures Markets, March 2013

FIRN Research Paper

Posted: 11 May 2013

See all articles by Donald D. Lien

Donald D. Lien

University of Texas at San Antonio - College of Business - Department of Economics

Chongfeng Wu

Shanghai Jiao Tong University (SJTU) - Aetna School of Management

Li Yang

UNSW Australia Business School, School of Banking and Finance; Financial Research Network (FIRN)

Chunyang Zhou

Shanghai Jiao Tong University (SJTU)

Date Written: 2013

Abstract

This paper examines the dynamic dependence structure between Chinese Yuan and each of ve other currencies in the Asia-Paci fic region on non-deliverable forward contracts over the period of July 4, 2006 throughout August 31, 2011. Using the date that Lehman Brothers led for bankruptcy as the starting date of financial crisis, we find that, before the crisis, the dependences between Chinese Yuan and most Asian currencies under consideration are much stronger when Chinese Yuan against the U.S. dollar depreciates than when it appreciates. During the crisis, the asymmetric tail dependences still prevail with the magnitude of both upper and lower tail dependences as well as correlation increasing substantially. The dynamic and asymmetric dependence structure documented in this study has important implications for the investors in the region.

Keywords: Dynamic dependences, Currencies in Asian Pacific

Suggested Citation

Lien, Donald and Wu, Chongfeng and Yang, Li and Zhou, Chunyang, Dynamic and Asymmetric Dependences between Chinese Yuan and Other Asia-Pacific Currencies (2013). Journal of Futures Markets, March 2013; FIRN Research Paper. Available at SSRN: https://ssrn.com/abstract=2203556

Donald Lien

University of Texas at San Antonio - College of Business - Department of Economics ( email )

6900 North Loop 1604 West
San Antonio, TX 78249
United States
210-458-4313 (Phone)
210-458-4308 (Fax)

Chongfeng Wu

Shanghai Jiao Tong University (SJTU) - Aetna School of Management ( email )

No.535 Fahuazhen Road
Shanghai, 200052
China

Li Yang (Contact Author)

UNSW Australia Business School, School of Banking and Finance ( email )

Sydney, NSW 2052
Australia
+610293855857 (Phone)

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Chunyang Zhou

Shanghai Jiao Tong University (SJTU) ( email )

KoGuan Law School
Shanghai 200030, Shanghai 200052
China

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