The price discovery in the renminbi/USD market: Two spot, two swap, and three forward FX rates
使用向量误差修正模型（VECM）研究在岸和离岸人民币即期、掉期和远期汇率的价格发现贡献，发现CNY和CNH是远期汇率的主要贡献者，且中央定价弱于前日收盘时CNY的信息份额占优。
This paper employs the vector error correction model (VECM) to measure the contribution of the onshore renminbi spot foreign exchange (CNY) rate to the price discovery of the offshore one (CNH). The VECM incorporates the covered interest rate parity condition by introducing the forward swap rate. Each rate has onshore and offshore markets, and the VECM encompasses the seven variables. This rich VECM challenges the small VECM with only two CNH and CNY rates, revealing an overstatement of the CNH's contribution. Additionally, CNY and CNH are the main contributors to the price discovery of the forward exchange rates. When the central parity is set to be weaker than the previous day's closing of the CNY, the CNY is dominant over the CNH in terms of the information share in the spot FX rate. This effect is amplified after the month of sluggish Chinese exports.