The Study Of Information Spillover Effects Between Onshore And Offshore RMB Markets

Recent years,the marketization of RMB has been increasing a lot with the acceleration of RMB internationalization.And as a very important part of strategy of RMB internationalization,the offshore RMB market has made considerable progress.Under this background,it is of great help for discussing the pricing power of RMB to make research on the relationship between onshore and offshore RMB markets.However,with the change of the economic situation and the reform of markets,the relationship between the markets is changing too.This paper firstly reviews the histories and states of onshore and offshore RMB markets,and then focuses on the change of relationship between markets by analyzing the information spillover effects in four different stages based on the change of economic situation and reform of RMB marketization.In the empirical test part,this paper analyses the reward and volatility spillover effect based on Granger causality test and BEKK-GARCH model.The test results reviews that the onshore and offshore markets are gradually establishing a positive interaction as the marketization of RMB,and onshore RMB market is enhancing its information superiority.The research proves that we are not losing the pricing power of RMB during the RMB internationalization reform.On the contrary,the relationship between onshore and offshore markets is getting closer,and RMB internationalization reform is successful.Given to the status of the RMB markets,this paper proposes to improve the offshore market infrastructure and enrich the RMB financial products.To enhance its pricing power,onshore RMB market should develop its derivative market.