The Study Of The Linkage Effects Between Onshore And Offshore RMB Exchange Rate Markets

The change of the RMB exchange rate policy, international events and the appearance of new RMB related products have a great effect on the relationship between the domestic and foreign RMB currency market.The studies on the change of the relationship is very important, especially in the high speed process of the internationalization of RMB and the opening gradually of capital account.Many scholars studied the change, using different methods and different angles. Hongkong offshore financial market issued the offshore RMB deliverable forwards (CNH-DF) in July,2010.The derivatives and the Non-deliverable Forwards (NDF) are alternative.This paper uses VAR-BEKK-GARCH model to study the changes of the relationship between the domestic and foreign RMB exchange rate market.Chapter1mainly introduces the background, significance about our country currency pricing and so on, and literature review, thesis structure and research methods. Chapter2is the theoretical basis.This chapter discusses the effective market theory and market linkage theory.Chapter3mainly analyzes the recent reform of foreign exchange system and the development situation of the domestic and overseas RMB exchange rate market.At last,this paper qualitatively analyses the information transmission mechanism between the domestic and foreign exchange rate market.In order to get get a more definitive conclusion, Chapter4quantitatively analysizes the change of the relationship between Spot, DF and NDF markets before and after the emergence of the CNH-DF market. The conclusions are as follows:(1) The first phase, the mean spillover effect:compare with Spot and DF, the NDF market exists mean spillover effect.The volatility spillover effect:Spot and NDF have similar effect, while NDF has a more obvious unidirectional spillover effect between DF and NDF;(2)The second phase, the mean spillover effect:Spot and NDF does not exist the mean spillover effect; the NDF’s influence on DF is reducing. The volatility spillover effect: Spot and NDF still exists bidirectional volatility spillover effects.But, it newly exists Spot(6M) on NDF unidirectional spillover effect;the unidirectional spillover effect of NDF on DF is reducing and the spillover effect of DF has achieved some development.According to the conlusions of Chapter3and4, Chapter5proposes some suggestions.In order to enhance the ability of the price discovery of the onshore RMB exchange rate market and master the pricing power of RMB in the internationalization of RMB, we should improve the Spot Market, vigorously develop the onshore DF market and other RMB derivatives markets, and accelerate the realization of the onshore RMB NDF market etc..