Research On The Linkage Effect Between Offshore And Onshore RMB Exchange Rate

Since August 11,2015,the people’s bank of China has carried out a series of reform of RMB exchange rate formation mechanism.These measures have effectively promoted the marketization degree of the pricing mechanism of RMB exchange rate.Although the pace of RMB internationalization has slowed in 2016 and 2017,the overall pace of RMB internationalization is still very fast.With the continuous improvement of the marketization level of the onshore RMB interest rate and exchange rate,the offshore RMB market as an integral part of RMB internationalization strategy has also been greatly developed.In this context,research on the linkage effect of offshore and onshore RMB exchange rate can analyze the changes of RMB information center.Based on the theory and development overview,this paper applies qualitative and quantitative methods to study the linkage mechanism and linkage effect between offshore and onshore RMB exchange rate.Firstly,this paper reviews the relevant literature,summarizes the development of offshore and onshore RMB market,and compares and analyzes the differences between the two markets.Secondly,it further analyzes the linkage mechanism between the two markets from a qualitative perspective,and provides relevant basis for empirical analysis.Thirdly,according to the "8.11" exchange rate reform and the following two exchange rate reform,the formation of the yuan against the dollar exchange rate middle price formation mechanism of the change were "closing rate","closing rate and a basket of currencies exchange rate changes","closing rate and a basket of currencies exchange rate change and counter-cyclical factor".The time of three exchange rate reform is divided into four stages,which is divided into four stages.The correlation of granger causality test,impulse response analysis and variance decomposition in VAR model is used to discuss the linkage effect of the RMB exchange rate.The empirical test is based on the daily data of the onshore and offshore renminbi spot exchange rates in four stages.The empirical results show that the offshore RMB exchange rate in the first and fourth stages has a two-way direct relationship with the onshore RMB exchange rate.In the second and third stages,the offshore RMBexchange rate is guided by the onshore RMB exchange rate.At the same time,through the impulse response analysis and variance decomposition,the offshore RMB exchange rate changes mainly from its impact,and onshore renminbi exchange rate changes more affected by the impact of the offshore RMB exchange rate.At the end of this paper,the present situation and the analysis conclusion are given,and some relevant policy suggestions are given in the context of the increasingly close relationship between onshore and offshore market.