Research On The Linkage Effect Between RMB Offshore And Onshore Interest Rates

In recent years,the cross-border use of RMB and the overseas stock of RMB have continued to expand,and the internationalization of the RMB has been accelerating.With the continuous advancement of the internationalization of the RMB,the offshore market of the RMB has also continued to grow and develop.The offshore financial market is not only a circulation platform for the domestic currency abroad,but it is also an extension of the onshore financial market and interacts with the onshore market.At present,the offshore market has established the RMB Hong Kong interbank lending market,and on June 24,2013,the Hong Kong RMB interbank interest rate was officially launched.This paper draws on other scholars' research on the offshore market and onshore market interest rate linkage research and qualitative analysis of the linkage effect between the offshore market and the onshore market interest rate,and uses the Hong Kong offshore market as the representative of the offshore RMB market to select the RMB Hong Kong bank.Interbank Offered Rate(CNH HIBOR)and Shanghai Interbank Offered Rate(SHIBOR)are used as the benchmark for RMB offshore interest rate and onshore interest rate respectively,and are selected from June 24,2013 to December 31,2018.The overnight and 1-week interest rates were used as research samples.The Granger causality test and the bivariate VAR-GARCH(1,1)-BEKK model were used to empirically analyze the linkage relationship between onshore market interest rates and offshore market interest rates.Repayment spillovers and volatility spillover effects in shore and onshore markets.The empirical results show that there is a linkage effect between the offshore RMB and the onshore market.This linkage effect appears in the initial stage of the offshore lending rate as the one-way return spillover effect of the onshore interest rate to the offshore interest rate and has a certain volatility spillover effect.With the continuous development of the offshore renminbi market,this linkage effect change is significant for the volatility spillover effect between the two,but the effect of price spillovers on the return of rewards disappears,and the pricing power of the onshore margins is determined by the respective markets.Based on this,relevant policy recommendations are given.