Research On The Influence Mechanism Of Rmb Benchmark Exchange Rate

After the "8.11" exchange rate reform,the "inverse periodic factor" was introduced into the quotation of RMB benchmark exchange rate,which was determined by the closing price and a basket of exchange rates.Moreover,due to the linkage of exchange rates in various markets and the opaque factors of RMB benchmark exchange rate pricing,the formation mechanism of RMB benchmark exchange rate was complex.In this paper,DCC GARCH model is used to analyze the correlation between RMB benchmark exchange rate and onshore spot exchange rate,offshore spot exchange rate and forward exchange rate,and to establish TAR Model to study the influencing factors of RMB middle price linkage under different RMB expectation conditions.The research shows that the dynamic correlation between the exchange rate of CNY and NDF is the strongest,and the expectation of onshore exchange rate and offshore exchange rate has stronger correlation after the "8.11" exchange rate reform.However,the RMB benchmark exchange rate maintains its independence and has a very low correlation with the market exchange rate.The adjustment of the RMB benchmark exchange rate is difficult to directly transfer or affect the RMB exchange rate of each market.There is no significant difference in interest rate between Mainland China and Hong Kong,but there is a significant negative impact on the linkage relationship between China and the United States.CFETS,BIS and SDR exchange rate indexes of basket of currencies have a significant positive impact on the linkage relationship.It shows that the "8.11" exchange rate reform makes the pricing mode of RMB exchange rate more transparent,and the reform of RMB exchange rate marketization mechanism has a certain extent effect.In order to promote the stable development of the RMB exchange rate market,three suggestions are put forward: further promoting the transparency of the exchange rate pricing mechanism,adhering to the principle of pegging to basket of currencies,and increasing the guidance to the offshore market.