Research On The Linkage Relationship Between Rmb Onshore And Offshore Exchange Rates And Its Influencing Factors

In recent years,with the full opening of China's current projects and gradual liberalization of the capital market,the degree of internationalization of the RMB has continued to deepen,and the offshore market of the RMB has developed rapidly.As a buffer zone for gradual opening of China's capital projects,the offshore market can play a good role in pilot testing.Since the establishment of the offshore RMB market in Hong Kong,China has actively promoted the reform of the RMB exchange rate formation mechanism,gradually expanded the exchange rate volatility,and improved the middle price quotation mechanism.The central bank also promoted the internationalization of the RMB through the development of the offshore renminbi financial market.The cross-border capital flow of RMB involves two regions,domestic and overseas.The exchange rate is also reflected in the onshore and offshore markets,and it is showing increasingly close ties.This paper mainly focuses on the study of the linkage relationship between the RMB exchange rate between the onshore and offshore markets.First,it sorts out the research literature of previous scholars on the linkage relationship between the onshore and offshore markets of the RMB,and then analysis the internal mechanism and influencing factors of the exchange rate linkage relationship between the onshore and offshore markets.Next,the “811” is changed to the demarcation point.The third chapter establishes the DCC-GARCH model and empirically tests the dynamic correlation between the onshore and offshore RMB exchange rates before and after the “811” exchange rate reform.The fourth chapter selects the indicators of cross-strait exchange rate differences,interest rate differences,risk preference differences,expected exchange rate fluctuations of the RMB,and fluctuations in international financial markets.The SVAR model is used to test the impact of each variable on the dynamic correlation coefficient empirically before and after the “811” exchange rate reform.The results show that:(1)For both onshore and offshore markets,the memory of the market itself has a stronger decision-making effect on volatility and the volatility of both market exchange rates has significant sustainability.After the exchange reform,the impacts of external shocks of the onshore CNY and the offshore CNH are both increased,and the persistence of exchange rate fluctuations in both markets decreased.(2)The linkage between the onshore and offshore RMB exchange rates is significant,and the dynamic relationship is always positively correlated.After the exchange rate reform,the correlation between the two markets is more obvious than before,and the continuity of the change in the correlation coefficient is weakened,that is,the fluctuation becomes smaller.(3)The onshore offshore RMB exchange rate linkage is most affected by its previous linkage.As the lag period increases,its own influence gradually decreases,but it is still the dominant factor.Finally,this paper puts forward policy recommendations based on the previous research and the actual situation in China,and forecasts the future research direction.