Research On The Linkage Mechanism And Control Interval Of Onshore And Offshore RMB Exchange Rate

The development of offshore and onshore market has a vital role on the regulation of RMB exchange rate,while the linkage of the onshore and offshore RMB exchange rate is a key problem for the realization of the central bank's policy goals.The analysis of volatility and price movements on RMB offshore and onshore exchange rate can not only discover their dynamic association rule,but also strengthen the central bank exchange rate policy implementation effect.It also can provide the government regulating the stability of RMB exchange rate with the train of thought,realizing effective monitoring for the achievement of the foreign exchange market.It is conducive to the healthy development of the currency market and promoting the internationalization of RMB.In this paper,we have made an empirically study about the onshore and offshore RMB exchange rate,based on the onshore and offshore RMB exchange rate data during May 2012 to May 2017.Firstly,onshore and offshore rate time series under the framework of the VAR impulse response analysis and variance decomposition analysis was studied to research the linkage of onshore and offshore exchange rate in three period,which was divided by significant financial events.Secondly,according to join the threshold limit into VECM model,we found out differential equilibrium level between onshore and offshore rate for a long time.On the basis of the definition of differential equilibrium interval level and deviation interval level,we made the the onshore and offshore rates VECM partitioning regression and analyzed the regression results.The results are as following:Before August 11 exchange rate reforms the linkage of the onshore and offshore rate change reaction is limited;while after exchange rate reform,changes between onshore and offshore linkage tend to be more closely,and the linkage relation weakened slightly after the yuan officially joined the SDR basket,but the influence between the onshore and offshore rate still showed a trend of gradually deepening overall.When the RMB exchange rate is in a balanced range,the onshore exchange rate is subject to random walk,while the offshore exchange rate is significantly affected by the onshore exchange rate.When in adeviation range,onshore changes will follow the change of offshore rate,and presents a "buying in when raising up,selling out when going down" speculative,and offshore rate affected by the influence of the onshore rate changes is limited.The policy variables in the offshore has a significant impact on exchange rate movements.As a result,the currency intervention policy could be carried out on the offshore rate adjustment to rebuild the balance of the foreign exchange market.This paper also studied factors such as the macro economic market,capital market,foreign exchange market,the international market and investor expectations in different range of the onshore and offshore rate linkage control mechanism,and currency intervention rationalization proposal based on the interval control of their influence is put forward.