| Hong Kong RMB offshore financial market was established in 2004 with RMB deposits business started. Ten years have passed till the end of 2013. Besides deposits, an onshore-offshore circulation mechanism occurs offering more business like securities financing, transactions, asset allocation management etc. On the one hand, the mainland government can make full use of the advantage of the Hong Kong international financial market; promote the internationalization of RMB and RMB exchange rate reform. On the other hand, through the development of offshore RMB business, Hong Kong can enhance its international competitiveness.But the construction of the Hong Kong offshore RMB market also brought a lot of adverse effects. Due to the mainland capital account regulation, there is a 2% exchange rate floating section. Interest rate spread between mainland and Hong Kong remains broad. The arbitrage space between Hong Kong offshore market and mainland onshore market causes short-term money flow across borders. This kind of arbitrage challenges the mainland exchange rate policy and macro-economic regulation and control. Stubborn arbitrage space queries the effectiveness of Hong Kong RMB offshore market.This paper studies the affection on the fluctuation of RMB exchange rate due to spot rate spread and the benchmark spread. Innovatively putting forward the idea that spot rate spread and the benchmark spread can influence asset allocation market(onshore or offshore), change RMB supply and demand, then give rise to fluctuation of RMB exchange rate.This paper establishs a spot rate-spot rate spread-benchmark spread balanced VAR and VEC model. This paper uncovers that spot exchange rate spread guides the RMB exchange rate to the equilibrium. In the long run, the benchmark spread can be involved. But the co-movement link chain is limited and obstacle. Arbitrage space existing for a long time, harms the internationalization of RMB.This paper attempts to put forward policy suggestions from the perspective of asset allocation view. Benefit study of the reform of RMB exchange rate based on this perspective is rare. To accelerate the development of offshore RMB market, China must expand the scale of offshore market; carry out mass offshore business; do a good job in the construction of supporting regulation. |
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