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Is the Renminbi a safe haven?

2017; Elsevier BV; Volume: 79; Linguagem: Inglês

10.1016/j.jimonfin.2017.09.010

1873-0639

Rasmus Fatum, Yohei Yamamoto, Guozhong Zhu,

Monetary Policy and Economic Impact

We investigate the relationship between market uncertainty and the relative value of the Renminbi in the offshore market against currencies that the safe haven literature typically considers as the traditional safe haven currency candidates. Our sample spans the February 2011 to May 2017 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.