Research On The Impact Of VIX Index On The Linkage Between RMB Offshore Financial Markets

Since the 2009 State Council executive meeting formally decided to launch a pilot program for RMB settlement of cross-border trade,the RMB has gradually grown into an influential international currency in the international monetary system.The internationalization of the RMB has catalyzed the development of the RMB offshore market.Financial markets such as offshore foreign exchange,bonds,interbank lending,and stocks have gradually matured and improved.The offshore market as a whole has diversified financial assets and diversified financial products.Features.The VIX index is the implied volatility of the S & P500 in the next thirty days,reflecting investors' expectations of market volatility.When the index fluctuates violently,both the external environment changes and investors have panic about the market conditions.As the financial market risk transmission mechanism passes from one market to another,the degree of deviation between the markets will increase,and the linkage effect will become more prominent.In the era of economic globalization,the interconnection mechanism between the offshore RMB market and the international market has improved the interaction of financial markets on the one hand,and the degree of linkage of risk contagion among markets has become more complicated.Therefore,in order to better promote the orderly and healthy development of the offshore market,prevent and mitigate financial risks,and then maintain the stability of the onshore market and promote the internationalization of the RMB,study the linkage between the RMB offshore financial markets and the VIX index against the RMB.The impact of inter-bank market interactions has important practical significance.In previous studies,most studies directly modeled dependencies and analyzed the dynamic changes of dependencies.Few studies related to the impact of exogenous variables on the linkage relationship between markets.Therefore,this article uses VIX as an exogenous variable.Taking the RMB offshore financial market as the research subject,this paper studies the impact of VIX fluctuations on the linkage between different RMB offshore financial markets.The correlation between the markets is obtained by fitting the ARMA-GARCH-t-COPULA function;then the VIX index is used as an exogenous variable to construct a smooth transition condition correlation coefficient model STCC model,and the effect of exogenous variables on the linkage between offshore financial markets is studied.influences.The empirical findings show that the impact of the VIX index on the RMB offshore exchange rate market,the RMB offshore stock market,and the RMB offshore interest rate market is more obvious.The degree of influence is the RMB offshore stock market and the RMB offshore exchange rate in that order.The inter-market linkage is greater than the linkage between the RMB stock market and the RMB offshore interest rate market,and the linkage between the RMB stock market and the RMB offshore interest rate market is greater than the RMB offshore exchange rate market and the RMB interest rate market.To sum up,this paper uses Fuji COPULA-ARMA-GARCH-t to study the linkage between RMB offshore financial markets,and then uses the smooth transition condition correlation coefficient model(STCC)to study the linkage between exogenous variable VIX and offshore financial markets.Impact.This will not only provide investors with a variety of market analysis methods,optimize investment decisions,and prevent financial risks,but also provide a new perspective for the study of offshore financial markets,and promote the prosperity and development of offshore RMB offshore.Good service for RMB internationalization.