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An Analysis of Onshore and Offshore RMB Exchange Rate Linkage Based on the Data before and after the Establishment of CNH Market
SHENG Bao-lian & QING Nan
2015, 47 (2):
124-132.
doi: 10.16382/ j.cnki.10005579.2015.02.015
In August 2010, Hong Kong’s offshore RMB market, namely CNH market, was officially born, which makes a diverse RMB exchange rate market structure together with onshore RMB exchange rate (CNY) market and offshore non-deliverable forward (NDF) market. Due to the fact that the interaction of RMB exchange rate between these three markets attracts more and more attention, the research on the linkage relation of onshore and offshore RMB exchange rate under this background is of great significance. This paper selects RMB exchange rate against US dollar of CNY, CNH, NDF1M and NDF1Y from January 1, 2010 to June 30, 2014. Taking the establishment date of CNH market, August 23, 2010, and December 31, 2012 as nodes, three stages are divided. Using co-integration test, Granger causality test and impulse response function, the interaction relationship between onshore and offshore RMB exchange rate before and after the birth of CNH market is measured. The empirical results show that before the establishment of CNH, CNY is Granger cause of NDF1M, after that, close information transmission between CNY and CNH is existing, and the impact of NDF1Y on CNY goes through the trend from decreasing to increasing. In short, the birth of CNH market makes RMB exchange rate in three markets more and more interactive.
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