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Spillover Effect in the RMB Foreign Exchange market:Based on VAR and DCC-MVGARCH Models

Frontiers of Business Research in China 2022年第1期16卷 88-104页

作者： GAO Jieying LIAN Yonghui School of Finance Capital University of Economics and BusinessBeijing 100070China

This paper analyzes the stability and marketization of the RMB exchange rate after China introduced the foreign exchange rate reform by linking the RMB exchange rate with the offshore and onshore markets on August 11,2015(“8/11”).Under the framework of dynamic analysis,through Granger causality test,VAR model and DCC-MVGARCH model,the empirical analysis is conducted about the three market exchange rate linkages of CNY,NDF and CNH from May 2012 to December 2018.Then,the direction and degree of the linkage between the RMB’s offshore and onshore exchange rates before and after the“8/11”exchange rate reform are compared.The research results show that:(1)since the“8/11”exchange rate reform,the RMB exchange rate has become more flexible;(2)the price-determining power of the RMB exchange rate may be weakened,and policy adjustment should take effect;and(3)the prerequisites,under which the offshore market can play a role,are the development of the market itself.This paper proposes that:(1)the onshore and offshore markets should develop in a collaborative manner to further increase exchange rate elasticity and flexibility;(2)close attention should be paid to the relationship between the offshore and onshore markets,and policy determination and flexibility should be maintained;and(3)the offshore market should be improved and play a due role.

关键词： "8/11"exchange rate reform offshore market onshore market exchange rate linkage VAR model DCC-MVGARCH model

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Chinese offshore RMB Currency and Bond markets:The Role of Hong Kong

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China & World Economy 2012年第3期20卷 107-122页

作者： Hung-Gay Fung Jot Yau Dr Y.S.Tsiang Professor of Chinese Studies College of Business AdministrationUniversity of Missouri-St.LouisSt.LouisUSA. Dr Khalil Dibee Endowed Chair in Finance Albers School of Business and EconomicsSeattle UniversitySeattleUSA.

This paper discusses the role of Hong Kong in China＇s grand scheme to build up the RMB as a global reserve currency. We highlight the economic importance of Hong Kong to China in terms of channeling foreign direct investment into China, some of which, in the future, will be denominated in the RMB. We discuss the development of China＇s RMB currency swap and deposit markets in Hong Kong. These offshore markets enable the RMB to trade freely, setting the stage for the RMB to become fully convertible and allowing market forces to play a role in pricing the value of the RMB, and help in the development of the RMB-denominated bond （or dim sum bond） market in Hong Kong. Finally, we present evidence of the phenomenal growth of the dim sum bond market in Hong Kong, which can further enhance and strengthen the use of the RMB outside China.

关键词： dim sum bond FDI offshore market reserve currency RMB

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