Research On The Dependence Of CNY Exchange Rate And The Exchange Rates Of China’s Major Trading Partners Under The Context Of The COVID-19 Pandemic

With the continuous deepening of the reform of the RMB exchange rate formation mechanism,the degree of marketization of the RMB exchange rate has been continuously improved,and the flexibility of two-way fluctuations between exchange rates has been continuously enhanced,showing the phenomenon of exchange rate linkage to a certain extent.In recent years,the linkage relationship between exchange rates has attracted more and more attention and research from scholars.The study found that after the RMB joined the SDR basket of currencies,in the face of the impact of uncertainties,the RMB also has the possibility of exchange rate risk transmission,which is reflected in the extreme linkage of the exchange rate,that is,it is manifested as different currencies rising or falling sharply at the same time,which is not conducive to maintaining the stability of the RMB exchange rate.This paper starts from the perspective of exchange rate linkage and the risk spillover situation caused by exchange rate linkage,explores the exchange rate linkage and risk spillover between the RMB and China’s major trading partners in the face of the impact of the new crown epidemic,and draws conclusions for the reference of policymakers and other scholars.At this stage,China’s main trading partners(regions)are ASEAN,the United States,the European Union,Japan,this paper selects the exchange rate of Vietnamese dong,US dollar,euro and yen against the pound sterling from July 2019 to July 2021,and uses the Garch-Copula-Co Va R model to analyze its linkage with the RMB-Pound sterling exchange rate and the risk spillover level between various markets,compared with the existing research methods,the Copula method can effectively capture the non-linear and asymmetric correlation between variables.In particular,it is easy to capture the correlation relationship of the distribution tail,which provides a model for studying extreme linkage situations.The results of the study show that in the face of the impact of the new crown epidemic,there are different degrees of extreme linkage between the RMB exchange rate and the exchange rate of China’s major trading partners.Specifically,there is an extreme linkage between the RMB and the euro and the yen.In terms of risk spillover,after the outbreak of the new crown epidemic,the two-way risk spillover between the RMB and China’s major trading partners has been enhanced,but the level of net risk spillover is asymmetrical,and the net risk spillover degree of China is smaller than that of the euro area,the United States,Vietnam,and greater than that of Japan.By understanding and measuring this risk spillover,it can provide a realistic basis for preventing exchange rate risks,promoting import and export trade,and maintaining the stability of financial markets.