Research Oe The Dynaic Linkage Effect Of RMB Offshore Market And Onshore Market Exchange Rate

In recent years,with the acceleration of the internationalization of the RMB and the continuous development of the offshore RMB market,the mutual penetration of offshore and onshore markets has also deepened.The RMB and onshore markets have different players and price formation mechanisms,and exchange rate changes between markets are different,but they affect each other.The direction and extent of exchange rate fluctuations between a country's currency onshore and offshore markets is related to exchange rate stability and even financial security.Therefore,it is of great significance to study the dynamic changes of the exchange rate effects of offshore and onshore markets in the process of RMB internationalization.This paper selects the spot exchange rate of RMB against the US dollar in the onshore market,the spot exchange rate of RMB against the US dollar in the offshore market in Hong Kong,and the RMB forward exchange rate in the non-deliverable period in December to study the exchange rate of RMB onshore and offshore markets.Firstly,the SDR is added as a representative event of the RMB internationalization process,and the VAR-GJR-MGARCH-BEKK model is used to study the linkage effect of the off-shore market in different sample intervals.Then,through DCC-MGARCH model and E-GARCH model,the influencing factors of dynamic correlation coefficient between off-shore and onshore markets are studied.The results show that:(1)There are significant reward spillover effects,volatility spillover effects and asymmetric effects in the onshore and offshore markets,and the offshore market is relatively in the information center position;after the RMB joins the SDR,it is between the offshore exchange rate and the offshore exchange rate.The linkage effect has been enhanced overall.(2)The impact of domestic spreads and capital market returns,and international capital market risks on the volatility of the exchange rate coefficient of offshore and onshore markets is generally positive.The addition of RMB to SDR has a significant effect on the volatility of the correlation coefficient.According to the results of theoretical and empirical analysis,this paper concludes that after the RMB is included in the SDR,the linkage effect between the offshore and onshore exchange rates is enhanced and more stable,and investors and policy makers need to consider the dynamic linkage effect when making relevant decisions.Possible impact.The promotion of the internationalization of the RMB should also pay attention to the dynamic changes caused by the exchange rate linkage effect to avoid possible financial risks and the stagnation of RMB pricing power.