A Study On Spillover Effect Of Foreign Exchange Market

With the pace of RMB internationalization speeds up,RMB Cross-border Trade Settlement and investment are in rapid development.Optimizing the central parity of RMB exchange rate formation mechanism,expanding the independent of RMB pricing power as well as developing the offshore RMB market becomes the significant goals under the new normal economic environment of China.After the formation of Hong Kong RMB deliverable forward exchange market(CNH),RMB foreign exchanges market has been further improved.The relationship between RMB onshore and offshore market also changes.To solve this problem,many economists both in China and abroad have done a variety of researches based on market relationship and conducting effect in different time.After the formation of CNH market,more and more researches focus on the relationship between CNH market and onshore RMB market.While clarifying the impact of the onshore market,Hong Kong RMB deliverable forward exchange rate adds a new choice for pricing the RMB exchange rate.Based on the Traditional and Modern Exchange Rate Determination Theory,this paper is combined with previous research results related to the foreign exchange market relevance.The innovations of this paper are the innovation of the selected subject and that of selected methods.The samples range from June 27,2011 to December 27,2015.Choosing 1-month,3-month,6-month and 12-month period foreign exchange contracts,the paper makes an empirical study on the dynamic relevance among CNY market,CNH market,onshore and offshore forward market.Based on the Granger causality test and the VAR-DCC-MGARCH model,the research results show that the formation of CNH market makes the interactive market mechanism of CNY market become more flexible.The information transmission channels and direction has been altered significantly.According to the conclusion above,the paper combined the future development of internationalization of RMB to put forward some recommendations to the construction of each RMB market as well as the orientation of the RMB exchange rate system reform.These conclusions and recommendations have both reference value and guiding significance for the formulation of developing RMB markets and policy-making on RMB performing the functions of international currency.