Study On Spillover Effect Of RMB Exchange Market Home And Abroad

Since the financial crisis,the world economy has been deep in turmoil,and the voice appealing for the reform on the current international monetary system is gradually stronger and stronger in the international community,which brings a valuable opportunity for the internationalization of RMB.So,to begin with "the trials of settling cross-border trade accounts in RMB" in 2009,secondly carrying out "Interim Measures of Qianhai Cross-border RMB Loan Management" in 2012,and then starting Shanghai FTA pilot in 2013,our government is intended to speed up the pace of internationalization of RMB.At the same time,with the China's rising level of opening up and the rapid growth of international trade,the demand to avoid the RMB exchange rate risk in domestic and foreign business owners and investors is increasing continuously and strongly.In recent years,the development of offshore RMB derivatives market provides an efficient hedging tool for them,especially in the offshore RMB NDF(Non-deliverable Forward)market,but offshore market becomes generally unregulated by domestic monetary authorities,with a strong speculation atmosphere,coupled with the development lag of the early domestic RMB exchange derivatives market,bringing an enormous influence on the smooth promote in the internationalization reform of RMB.As a consequence,the spillover effect between the onshore and offshore RMB exchange market has an explicit realistic meaning and a profound academic value.Based on the Shanghai FTA pilot,we conduct an empirical research study on the spillover effect among the RMB onshore spot,of onshore DF and offshore NDF forward exchange rate respectively,applying a variety of econometric methods,on the one hand searching the mean spillover effect among the above-mentioned three markets using the cointegration theory and Grainger causality test,on the other hand analyzing the volatility spillover effect applying the VAR-BEKK-MVGARCH model.The study indicates that the reform of RMB exchange rate formation mechanism can effectively enhance the relationship between the domestic and foreign market,and improve the domestic RMB exchange rate pricing ability,and the international status of domestic market improved significantly,and the spillover effect between the domestic and foreign RMB exchange market is stronger gradually,meanwhile,there is no clear evidence on the phenomenon that RMB pricing sidelined overseas.Moreover,different from previous studies,this paper shows that,in the short term,the price discovery ability of domestic RMB forward market is increasing,the fluctuation information on the domestic RMB spot exchange rate will lead to the foreign exchange market risk,however,in the medium or long term,domestic spot market pricing efficiency decreases,which is not found by the previous study,and worthy of attentions by the policy authorities.