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首页> 外文期刊>The North American journal of economics and finance >Exchange rate regimes and market integration: evidence from the dynamic relations between renminbi onshore and offshore markets
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Exchange rate regimes and market integration: evidence from the dynamic relations between renminbi onshore and offshore markets

机译：汇率制度和市场一体化：来自人民币和海上市场的动态关系的证据

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摘要

The Chinese renminbi (RMB) has been on the way of becoming a major international currency. This paper examines the impact of the RMB exchange rate regime and policy on the integration and information flows between RMB onshore and offshore markets. We employ a long sample of daily data encompassing multiple times of RMB exchange rate regime change (peg to managed float in 2005, re-peg in 2008, re-float in 2010, and the central parity reform in 2015), and study the dynamic conditional correlations and spillovers between RMB onshore spot market and offshore non-deliverable forward (NDF) market. It is found that the switch from exchange rate peg to managed float and a widening of the floating band strengthen cross-market correlation and information flows (especially offshore-to-onshore spillovers). A market-learning explanation is offered for the observation that the correlation collapse in the re-peg period was not as prompt as the correlation take-off in the 2005 reform period. These findings have important implications for China's monetary and foreign exchange policies and shed light on the integration of China's financial markets with the rest of the world.
机译：中国人民币（人民币）一直在成为主要的国际货币的方式。本文介绍了人民币汇率制度和政策对人民币陆上和海上市场之间集成和信息的影响。我们雇用了一系列日常数据，包括多次人民币汇率制度变更（PEG到2005年的管理浮动，2008年重新挂钩，2010年重新浮动，2015年的中央平价改革），并研究了动态人民币陆上现货市场与海上不可交付前锋（NDF）市场的条件相关性与溢出。发现从汇率PEG到管理浮动的开关和浮动频带的加宽加强跨市场相关和信息流（特别是离岸到陆上溢出效果）。提供了一种观察，重新挂钩期间的相关崩溃并不是2005年改革期间的相关起飞的相关性崩溃。这些调查结果对中国货币和外汇政策的重要意义和揭示了中国与世界其他地区的金融市场融合的光明。

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