Research On The Linkage Effect Of RMB Onshore And Offshore Exchange Rates And Its Influencing Factors

Hong Kong's offshore renminbi market has grown rapidly since it was established in 2010,and the pool of offshore renminbi capital has grown to become the largest offshore renminbi market in the world.According to international experience,the development and maturity of the offshore market is an important symbol of a country,s financial globalization,and the establishment of a sound offshore RMB market has become an important strategic layout to promote the internationalization of RMB.The release and return of RMB in the international currency market all depend on the offshore RMB market.However,the construction of Hong Kong's renminbi offshore market channels of communication between onshore and offshore market is more and more rich,the exchange rate of the degree of correlation is becoming more and more close,especially after the 8.11 yuan reform,the offshore market exchange rate to the onshore market exchange rate guide strengthen gradually,have seized the trend of RMB exchange rate pricing power,at the same time,such as arbitrage and arbitrage behavior of onshore has certain impact of the financial system and financial security.It is of great significance to study the linkage between the onshore and the offshore market in order to stabilize the pricing power of the RMB,strengthen the construction of the offshore market,improve the reform of the onshore market,promote the internationalization of the RMB and prevent financial risks.This paper first expounds the background and significance of the topic,and explains the importance and practicability of this topic.After sorting out the relevant literatures about the onshore and offshore market of RMB,this paper expounds the research content and framework,as well as the innovation points and shortcomings of the research.Secondly,this paper introduces in detail the renminbi onshore and offshore market development status,the offshore market rapidly and the inevitable trend of development,at the same time,adopt the method of theoretical analysis,based on the evaluation theory and the introduction of PPP theory,interest rates in the exchange rate determination theory based on the analysis of the linkage mechanism of onshore and offshore market exchange rate;Again,adopt the method of empirical analysis,through granger causality test,it is concluded that the onshore yuan at the spot exchange rate at the spot exchange rate(CNY),Hong Kong offshore RMB(CNH)and Hong Kong non-deliverable forwards(NDF)exchange rates between has a guiding role in each other,through the establishment of DCC-GARCH economic model,and got the dynamic correlations between CNY,CNH and NDF,select 8.11 yuan at the same time,Hong Kong,onshore and offshore spot rate spreads,the VIX as factors influencing variables,such as establishing SVAR model test of the influence degree of the influence factors on the dynamic correlation between exchange rate;Finally,based on the above research conclusions,the paper puts forward policy Suggestions on how to enhance the linkage between the onshore and offshore markets and accelerate the development of the offshore market of RMB so as to better promote the internationalization of RMB.Through the above analysis,this passage reaches the following conclusions:first,it is found by granger causality test that CNY can unidirectional guide CNH before the exchange rate reform on 8.11,while CNH can unidirectional guide CNY after the exchange rate reform.CNH and NDF can guide each other before and after the exchange rate reform.CNY can guide NDF one-way before the exchange rate reform,and CNY and NDF can guide each other after the exchange rate reform.NDF market has the strongest guiding ability,followed by CNH market,and CHY market has the weakest guiding ability.Second,through th,e study of dcc-garch model,it was found that there was a high positive correlation between CNY,CNH and NDF exchange rates,and the correlation between CNH and NDF exchange rates was the strongest.Next,the correlation between CNY and CNH exchange rates was the weakest.Third,represented by CHY and CNH exchange rate correlation,lagged terms of exchange rate correlation and exchange rate reform have a positive impact on exchange rate correlation,while exchange rate differentials,interest rate differentials and VIX index have a negative impact on exchange rate linkage,all of which have a low degree of contribution to linkage change.How to enhance the correlation of onshore and offshore market exchange rate,actively guide the yuan pricing,better for the construction of the offshore market,to promote the internationalisation of the renminbi,this paper puts forward the following Suggestions:advancing the reform of RMB exchange rate formation mechanism and interest rate marketization reform,widen the channel of the onshore and offshore renminbi circulation at the same time,strengthen the cooperation between the onshore and offshore markets.