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Dynamic relationship between Chinese RMB exchange rate index and market anxiety: A new perspective based on MF-DCCA

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  • Li, Shuping
  • Lu, Xinsheng
  • Liu, Xinghua

Abstract

This paper employs multifractal detrended cross-correlation analysis (MF-DCCA) to study the cross-correlations between the Chinese RMB exchange rate index and market anxiety using data from June 21, 2010 to December 28, 2018. Cross-correlation statistics and coefficients verify the existence of cross-correlations, and the MF-DCCA method quantitatively confirms the presence of multifractality between the Chinese RMB index and market anxiety for both the long- and short-term. The results of the rolling window analysis reveal that cross-correlation scaling exponents of the Chinese RMB index and market anxiety are sensitive to external shocks.

Suggested Citation

  • Li, Shuping & Lu, Xinsheng & Liu, Xinghua, 2020. "Dynamic relationship between Chinese RMB exchange rate index and market anxiety: A new perspective based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 541(C).
    • Handle: RePEc:eee:phsmap:v:541:y:2020:i:c:s037843711931903x
    DOI: 10.1016/j.physa.2019.123405
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