Is the Renminbi a Safe Haven?

36 Pages Posted: 6 Jul 2016

See all articles by Rasmus Fatum

Rasmus Fatum

University of Alberta - Department of Marketing, Business Economics & Law

Yohei Yamamoto

Hitotsubashi University; Tokyo Center for Economic Research (TCER)

Guozhong Zhu

University of Alberta - Department of Marketing, Business Economics & Law

Multiple version iconThere are 2 versions of this paper

Date Written: June 24, 2016

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.

Keywords: Renminbi, Safe Haven Currencies

JEL Classification: F31, G15

Suggested Citation

Fatum, Rasmus and Yamamoto, Yohei and Zhu, Guozhong, Is the Renminbi a Safe Haven? (June 24, 2016). Tokyo Center for Economic Research (TCER) Paper No. E-109; University of Alberta School of Business Research Paper No. 2016-706. Available at SSRN: https://ssrn.com/abstract=2804102

Rasmus Fatum (Contact Author)

University of Alberta - Department of Marketing, Business Economics & Law ( email )

Edmonton, Alberta T6G 2R6
Canada
780-492-3951 (Phone)
780-492-3325 (Fax)

HOME PAGE: http://www.bus.ualberta.ca/rfatum

Yohei Yamamoto

Hitotsubashi University ( email )

2-1 Naka Kunitachi-shi
Tokyo 186-8601
Japan

Tokyo Center for Economic Research (TCER) ( email )

Sankyo Building
Room 703, Main Building
Chiyoda-ku, Tokyo, 1-7-10
Japan

Guozhong Zhu

University of Alberta - Department of Marketing, Business Economics & Law ( email )

Edmonton, Alberta T6G 2R6
Canada

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