University of Nottingham Ningbo China
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Assessing the CNH-CNY Pricing Differential: Role of Fundamentals, Contagion and Policy

22 October 2015 (18:00-19:30)

The School of Economics and The Nottingham Centre for Research on Globalisation and Economic Policy (GEP) China are pleased to invite you to the following research seminar given by Professor Michael Funke from Hamburg University.

About the seminar

Renminbi internationalisation has brought about an active offshore market where the exchange rate frequently diverges from the onshore market. Using extended GARCH models, we explore the role of fundamentals, global factors and policies related to renminbi internationalisation in driving the pricing differential between the onshore and offshore exchange rates. Differences in the liquidity of the two markets play an important role in explaining the level of the differential, while rises in global risk aversion tend to increase the differential's volatility. On the policy front, measures permitting cross-border renminbi outflows have a particularly discernible impact in reducing the volatility of the pricing gap between the two markets.

About the speaker

Professor Michael Funke is currently a Professor of Economics at the Department of Economics, Hamburg University. He is also a CESifo Research Fellow at Centre for Economic Studies and Ifo Institute for Economic Research. He was also a visiting scholar at International Monetary Fund, Hong Kong Institute of Monetary Research, Bank of Finland, Bank of International Settlements (Hong Kong and Basel), and Hong Kong Baptist University. His current research interests include macroeconomics and monetary economics. His research has been published in European Economic Review, Oxford Bulletin of Economics and Statistics, Studies in Nonlinear Dynamics and Econometrics, World Economy, Scottish Journal of Policy Economy, European Journal of Political Economy, Applied Economics, Journal of Macroeconomics, Journal of International Money and Finance, and Journal of Forecasting.