The Dynamic Relationship between Onshore and Offshore Market Exchange Rate in the Process of RMB Internationalization-- An Empirical Analysis Based on VAR-DCC-MGARCH-BEKK Model

DOI

10.2991/icemct-16.2016.39How to use a DOI?

Keywords

Onshore market and offshore market, Mean spillover, Dynamic correlation coefficient, Volatility spillover.

Abstract

Using a VAR-DCC-MGARCH-BEKK model, this paper empirically tests the dynamic relationship between onshore and offshore market exchange rate. The results show that: Firstly, the guiding effect of offshore RMB forward exchange market on onshore RMB spot and forward exchange rate market is obvious, but not vice versa; there exists a bi-directional mean spillover effect between onshore RMB spot and forward exchange rate market and offshore RMB spot exchange rate market respectively. Secondly, in addition the onshore RMB spot exchange rate market volatility spillover effect is greater than the offshore RMB spot exchange rate market, other offshore market exchange rate volatility effects are greater than the other way round. Thirdly, with the process of internationalization of RMB, the dynamic relations between onshore and offshore market become more and more obvious.

Copyright

© 2016, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Yin Feng
AU  - Tang Yang
PY  - 2016/04
DA  - 2016/04
TI  - The Dynamic Relationship between Onshore and Offshore Market Exchange Rate in the Process of RMB Internationalization-- An Empirical Analysis Based on VAR-DCC-MGARCH-BEKK Model
BT  - Proceedings of the 2016 International Conference on Education, Management and Computing Technology (ICEMCT-16)
PB  - Atlantis Press
SP  - 196
EP  - 201
SN  - 2352-5398
UR  - https://doi.org/10.2991/icemct-16.2016.39
DO  - 10.2991/icemct-16.2016.39
ID  - Feng2016/04
ER  -