| ID | 182746 |
| Title Proper | Onshore spot and offshore forward markets for RMB |
| Other Title Information | Evidence from the “8.11” exchange rate regime reform |
| Language | ENG |
| Author | Li, Jie ; Li, Xue ; Liu, Yanghui ; Li, Hanxu |
| Summary / Abstract (Note) | This paper investigates the dynamic relationship between the onshore spot market and offshore forward market for Chinese currency around the period of China's “8.11” exchange rate regime reform, one of the most important market-oriented reforms implemented on August 11, 2015. We compare return and volatility spillover effects between the two markets before and after the “8.11” reform. The empirical evidence shows that a remarkable change has occurred in both the return and volatility spillovers. Before the reform, return and volatility spillovers exist from the offshore forward market to the onshore spot market. After the reform, however, we observe an obvious reverse in the direction and an increase in the strength of the return and volatility spillover effects. These findings suggest the existence of cross-market information flows, a change in the direction and a strengthening of the dynamic relationship after the reform. We argue that the “8.11” reform serves as a milestone reflecting long-term underlying forces that increase the relative importance of the onshore market. |
| `In' analytical Note | China Economic Review Vol. 67, Jun 2021: p.101617 |
| Journal Source | China Economic Review 2021-05 67, 67 |
| Key Words | RMB ; Spillover Effects ; Information Flows ; Exchange Rate Regime Reform |