Research On "8.11 Exchange Reform" Policy Effect

"8.11 Exchange Reform" is an important reform of the internationalization of the RMB,which has practical significance.On the one hand,the exchange rate reform has broadened the channels of information transmission for RMB investors both at home and abroad.On the other hand,China's monetary authorities can formulate reasonable and effective policies and steadily promote the internationalization of RMB according to the effect and response of exchange rate reform.Therefore,this paper studies two basic issues:(1)whether the "8.11 Exchange Reform" has enhanced the marketability of the RMB central parity price;(2)whether the "8.11 Exchange Reform" has enhanced the benchmark of the RMB central parity price.Firstly,after learning from previous scholars' research results on the policy effects of the "8.11 Exchange Reform",this paper uses interest rate parity theory,balance of payments theory,currency crisis theory and signaling theory,and adopts the method of IS-LM-BS model to evaluate the policy effects of the "8.11 Exchange Reform" between onshore and offshore markets which from the linkage perspective of the return and fluctuation.More specifically,we set August 11,2015 as a time point.By establishing four kinds of empirical test models: cointegration test,asymmetric binary VECM-BEKK-TGARCH model,Granger causality test and CHOW breakpoint test,which including mean spillover,volatility spillover and information spillover.We also evaluate the exchange policy by comparing the results of the indicators and robustness test.Secondly,the influencing factors of the exchange rate difference between the two markets are studied.By extracting the three major linkage indicators of the previous stage as explanatory variables,and subdividing them into offshore market information(offshore index),onshore market information(onshore index),dynamic correlation coefficient between central parity price and offshore market(correlation coefficient index);and then taking macroeconomic variables as control variables,regression analysis and prediction of the exchange rate are made according to the data before and after the exchange rate reform.To further verify the effect of the "8.11 Exchange Reform" policy.The empirical results show that the "8.11 Exchange Reform" has achieved some results,and the marketability of the RMB central parity price.has increased,but thebenchmark needs to be strengthened.The concrete manifestations are as follows:(1)The linkage relationship between the offshore and onshore exchange rate markets of RMB has been strengthened after the exchange rate reform,and the price fluctuations between markets have been transmitted more closely.Compared with pre-reform period,after the exchange rate reform,the bidirectional transmission between the RMB central parity price and the offshore forward price has increased,and the market contagion has increased.The volatility transmission between the central parity price and the onshore spot market has an asymmetric amplification effect,and the marketability of the RMB central parity price increases.(2)Compared with the pre-reform period,after the reform,the influence of offshore market information on the exchange rate difference is enhanced,and the exchange rate difference can be better explained and predicted by the offshore market returns and fluctuations.However,the information on the onshore market,including the central parity price,has poor fitting effect,and the central parity price has not played a guiding role in other market prices.It once again proves that the "8.11 Exchange Reform" is effective in the market,but the benchmark purpose has not been achieved.Therefore,in order to further promote the internationalization of RMB,it is necessary to prevent the Risk Spillover between the exchange rates of the two markets,to focus on preventing the possible impact of the offshore market,to prevent the offshore pricing power of RMB from falling off the offshore market,and to strengthen the guiding benchmark role of the RMB central parity price on the prices of other markets.