Spillover Effects Between Onshore And Hongkong Offshore RMB Markets

In recent years,the offshore RMB market in Hong Kong,as an important part of the RMB internationalization strategy,has made great progress in the continuous implementation of the RMB internationalization.At present,it has become a market with the largest capital transaction volume,the richest transaction category and relatively complete market transaction mechanism.At the same time,in recent years,the RMB foreign exchange market has developed orderly,the capital account has been gradually opened,and the exchange rate reform has been deepened.Therefore,the establishment and improvement of the orderly RMB offshore market has gradually become a hot topic in recent years.Many scholars at home and abroad have relationship between the onshore and offshore RMB market research,along with the growing for the offshore RMB market in HK making the yuan between the onshore and offshore market in Hong Kong linkage changing,and on both sides of the relationship between the market through the spillover effect,thus to explore the spillover effects between onshore and offshore renminbi market in Hong Kong for strengthening inter-operability on both sides of the market,promoting marketization of RMB exchange rate and deepen the process of RMB internationalization has important theory meaning and realistic meaning.In the opening part of this paper,previous studies on spillover effects between onshore and offshore foreign exchange markets are reviewed to understand the academic research context and research trends.Based on the theory of interest rate parity,information transmission between markets,capital control and capital opening,this paper analyzes the development history and status quo of the onshore and offshore foreign exchange markets in the description of the current situation,and analyzes the transmission mechanism and internal relations between markets to provide a logical basis for the following empirical analysis.The empirical part of this two revaluation policy as time node to the onshore market and Hong Kong offshore RMB market sample interval is divided into three stages,using VAR model,Granger causality test,impulse response and GARCH(1,1)-BEKK models and other methods,for each stage market rewards spillover effect and volatility spillover effect between the empirical research.The results show that there are compensation spillovers and volatility spillovers between the offshore and the onshore RMB market.Due to the local information advantage,the onshore RMB market has a strong pricing power when the offshore RMB market was established in June 2011.However,with the implementation of the “eight-one-one ER”reform policy,continuous deepening of the onshore RMB marketization has affected the pricing discourse power of the onshore RMB market,but it still has a certain price-oriented function in the second stage.Meanwhile,the rapid development of CNH market has gradually replaced the offshore status of Hong Kong RMB NDF market.With the deepening of the exchange rate reform process,the exchange rate reform of 811 in 2015 reversed the ownership of pricing power between the two market.The offshore One occupied a dominant position in both reward overflow and volatility overflow,and the onshore RMB market lost its pricing power and source of volatility.Finally,based on the empirical conclusion of this paper,several ideas are proposed for the coordinated development of the relationship between the offshore market and the onshore market as well as the development of the offshore market in the future,so as to provide some guidance for the formulation of foreign exchange market policies and the promotion of RMB internationalization.