The Impact Of China And US Macroeconomic Announcements On The Spillover Effects Of RMB Onshore And Offshore Exchange Rates

Since the 21 st century,the onshore market of the RMB has been becoming more market-oriented,and the offshore RMB market has developed relatively mature.With a range of RMB internationalization policy,the link between the two markets are getting closer.In the process of market operation,the price discovery function of the market reflects it’s information efficiency.The macroeconomic announcement as one of the important public information,its release will affect the currency price,so the arrival of macroeconomic announcements can affect the price discovery process in the FX market.Therefore,this paper studies on the impacts of China and US macroeconomic announcements on RMB onshore and offshore exchange rates.Firstly,this paper uses VAR,VAR-BEKK-MVGARCH,VAR-DCC-MVGARCH models to verify the spillover effect between RMB onshore and offshore markets.Then this paper further calculates the indicators for measuring the surprises of the macroeconomic announcements,and incorporates these indicators into the model.It finds that there are differences in the response of the onshore market and the offshore market to the announcement,Chinese and US macro-announcements can partly explain the spillover effects between onshore and offshore markets.Finally,the paper summarizes the analysis results,and puts forward relevant policy suggestions and the inadequacies and prospects of this paper.