Jiadong Tong, Zijun Wang, Jian Yang
Journal of Futures Markets,Vol. 36, Issue 7, Pages: 695-718.
We apply a new model selection approach that allows for the joint determination of structural breaks and cointegration to examine the term structure of Chinese Renminbi (RMB)-US dollar spot and forward exchange rates during the managed-floating period of 2005-2013. We find that the RMB market has exhibited different dynamic relationships between spot and forward exchange rates over time, apparently due to significant policy changes. Offshore forward rates with either shorter or longer maturities can substantially …