Research On The Relationship Between Rmb Offshore And Onshore Exchange Rate Based On MF-DCCA

With the advance of "The Belt and Road" plan and build of the Asian investment bank,China has increasingly strong influence and appeal in regional and international scope.At the same time,the RMB has a greater say in international currenries,especially in October 1,2016,RMB is formally incorporated into the SDR currency basket,which makes the usaege of RMB surge in global currency markets and is also the milepost event on the road of internationalization of the RMB.However,it is necessary to study the characteristics of onshore and offshore RMB exchange rate considering the "Mundell Impossible Trinity Model",namely maintaining the liquidity,currency stability and the independence of monetary policy.The multifractal cross-correlation analysis(Multifractal detrended cross-correlation analysis,MF-DCCA)method is used to study the relationship between offshore and onshore RMB exchange rate.First of all,this paper defines the concept of offshore and onshore RMB market and their corresponding exchange rates,and analyzes the difference and connection between the two;then describes the main characteristics of the RMB offshore market and onshore exchange rate as well as the measurement method of cross-correlation;and then expounds the construction process and the measurement indicators of the MF-DCCA method;finally using the method to conduct the empirical analysis about the cross-correlation between offshore and onshore RMB exchange rate.Some suggestions based on the empirical results on the development of foreign exchange market are put forward.The empirical results show that the offshore RMB exchange rate and onshore RMB exchange rate have multifractal cross-correlation,that is to say,the movements of exchange rate of offshore RMB and onshore RMB affect each other,and the multifractal degree between the two is significant.In addition,the multifractal degree of onshore RMB exchange rate is higher than that of the offshore RMB exchange rate,meaning that the offshore RMB market is more effective than onshore RMB market;In addition,the multifractal cross-correlation between the spot exchange rate,forward rate of 3 months and 12 months of offshore RMB and onshore RMB is mainly caused by the non-normality of time series;while multifractal cross-correlation between the forward rate of 1 months and 6 months of offshore RMB and onshore RMB are influenced by both the temporary correlation and non-normality of original time series,which demonstrates that both offshore RMB market and onshore RMB market are weak form makets.