LEVEL AND VOLATILITY SPILLOVERS OF ONSHORE AND OFFSHORE RMB EXCHANGE RATE IN GLOBAL AND REGIONAL MARKETS

Minghua Zhan (), Qian Zhou (), Yueli Xu () and Zhouheng Wu
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Minghua Zhan: School of Finance, and Southern China Institute of Fortune Management Research, Guangdong University of Foreign Studies, P. R. China
Qian Zhou: School of Finance, and Southern China Institute of Fortune Management Research, Guangdong University of Foreign Studies, P. R. China
Yueli Xu: School of Economics and Trade, and Southern China Institute of Fortune Management Research, Guangdong University of Foreign Studies, P. R. China
Zhouheng Wu: School of Finance, Southern China Institute of Fortune Management Research, and Financial Openness and Asset Management Research Center, Guangdong University of Foreign Studies, P. R. China

The Singapore Economic Review (SER), 2025, vol. 70, issue 02, 429-454

Abstract: This paper investigates onshore and offshore RMB exchange rates’ bi-direction spillover effects with seven global and Asian currencies. We find that the onshore RMB exchange rate has more substantial global and Asia spillovers in both mean and volatility than offshore RMB. Offshore RMB exchange rate shows no outward level and ARCH spillovers to three widely traded global currencies. Moreover, we examine spillover effects changes along with RMB exchange rate policy reform. We found that although the volatility of both onshore and offshore RMB increased, the onshore RMB spillovers strengthen while offshore RMB spillovers decline.

Keywords: Level and volatility spillover; onshore and offshore RMB; VAR-MGARCH; global and Asian markets; exchange rate policy reform (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1142/S0217590821500326

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