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

被引：0
|
作者：
Yin, Feng [1 ]
Tang, Yang [1 ]
机构：
[1] Shanghai Univ, Sch Econ, Shanghai 200000, Peoples R China
来源：
PROCEEDINGS OF THE 2016 INTERNATIONAL CONFERENCE ON EDUCATION, MANAGEMENT AND COMPUTING TECHNOLOGY (ICEMCT-16) | 2016年 / 59卷
关键词：
Onshore market and offshore market; Mean spillover; Dynamic correlation coefficient; Volatility spillover;
D O I：
暂无
中图分类号：
G40 [教育学];
学科分类号：
040101 ; 120403 ;
摘要：
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.
引用
收藏
页码：196 / 201
页数：6
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