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Book Cover
E-book
Author Du, Jiangze

Title Chinese Currency Exchange Rates Analysis : Risk Management, Forecasting and Hedging Strategies
Published Milton : Taylor and Francis, 2017

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Description 1 online resource (111 pages)
Series Routledge Advances in Risk Management
Routledge advances in risk management.
Contents Cover; Half Title; Title Page; Copyright Page; Table of Contents; List of Figures; List of Tables; Preface; Chapter 1: Chinese currency exchange market: An overview; 1.1: Introduction to Chinese currency exchange market; 1.2: The development of the Chinese yuan exchange rate policy; National economy recovery period (1949-1952); Command economy period (1953-1980); Economy transition period (1981-1993); Market mechanism period (1994- ); 1.3: Introduction to Chinese onshore and offshore exchange markets; Chapter 2: Interrelationship between RMB markets; 2.1: Introduction
2.2: Methodology (vector autoregression model)2.3: Empirical results; 2.4: Conclusion; Chapter 3: Chinese exchange market crisis: Warning and identification based on Markov regime switching model; 3.1: Introduction; 3.2: Methodology; 3.2.1: Markov switching model; 3.2.2: Empirical mode decomposition (EMD); 3.3: Model estimation; 3.4: Empirical analysis; 3.5: Conclusion; Chapter 4: Forecasting the renminbi exchange rate with an EMD-based neural network; 4.1: Introduction; 4.2: Methodology; 4.2.1: Artificial neural network (ANN); 4.2.2: Empirical mode decomposition (EMD)
4.2.3: Overall forecasting process and model notations4.3: Empirical experiments; 4.3.1: Data; 4.3.2: Experimental results; 4.3.3: Applying the trading strategy; 4.4: Conclusion; Notes; Chapter 5: Hedging currency risk; 5.1: Introduction; 5.2: Methodology; 5.2.1: Currency hedging; 5.2.2: Assets allocation; 5.2.3: Sharpe ratio; 5.2.4: Economic benefit; 5.3: Empirical studies; 5.3.1: Data and statistics descriptions; 5.3.2: Equal-weighted portfolios; 5.3.3: Optimal-weighted portfolios; 5.3.4: Further evidence; 5.4: Conclusion; Notes; References; Index
Summary "This book provides an overview of Chinese RMB exchange markets and its risk management strategies. The view that RMB is playing an increasingly international role has been widely accepted by practitioners as well as scholars worldwide. Moreover, the Chinese government is opening the control of RMB exchange market step by step. However, some related topics are under heated debate, such as how to manage and warn of the currency crisis, what the trend of RMB exchange rate in the future is, and how to hedge the exchange risk in the process of RMB internationalization. In this book, we will give distinct answers to the above questions."--Provided by publisher
Bibliography Includes bibliographical references and index
Notes Print version record
Subject Foreign exchange market -- China
Foreign exchange rates -- China
Foreign exchange market
Foreign exchange rates
China
Form Electronic book
Author Wang, Jying-Nan
Lai, Kin Keung
Wang, Chao
ISBN 9781351697194
1351697196