The Dynamic Relationship between Onshore and Offshore Market Exchange Rate in the Process of RMB Internationalization - An Empirical Analysis Based on VAR-DCC-MGARCH-BEKK Model

摘要

Using a VAR-DCC-MGARCH-BEKK model, this paper empirically tests the dynamic relationship between onshore and offshore market exchange rate. The results show that: Firstly, the guiding effect of offshore RMB forward exchange market on onshore RMB spot and forward exchange rate market is obvious, but not vice versa; there exists a bi-directional mean spillover effect between onshore RMB spot and forward exchange rate market and offshore RMB spot exchange rate market respectively. Secondly, in addition the onshore RMB spot exchange rate market volatility spillover effect is greater than the offshore RMB spot exchange rate market, other offshore market exchange rate volatility effects are greater than the other way round. Thirdly, with the process of internationalization of RMB, the dynamic relations between onshore and offshore market become more and more obvious.