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The spillover effects among offshore and onshore RMB exchange rate markets, RMB Hibor market.

Zhong, Yonghong and I.D. Harris, Richard and Deng, Shuhong (2020) 'The spillover effects among offshore and onshore RMB exchange rate markets, RMB Hibor market.', Quantitative finance and economics., 4 (2). pp. 294-309.


We investigate the return and volatility spillover effects among the onshore and offshore RMB foreign exchange markets, offshore RMB money market before and after the foreign exchange rate reform on August 11, 2015. We found that “8.11” exchange reform significantly affects the interactions in CNY, CNH and CNH-Hibor three markets. The two-way CNY-to-CNH return spillovers became one-way and in the opposite direction after the reform. The Granger causality test shows price-guide impacts in pairs of CNY, CNH and CNH-Hibor were significantly different after the “8.11” reform. The pricing power of RMB spot exchange rate has been passed from onshore market to offshore market. Meanwhile, the unidirectional volatility spillover from CNH to CNY has changed to bidirectional volatility spillover between CNH and CNY markets. Meanwhile, after the “8.11” reform, the fluctuation of CNH-Hibor impacts the volatility of onshore and offshore exchange rates significantly, CNH-Hibor played a leading role in onshore-offshore foreign exchange and offshore money market interactions. These results are critical for Chinese policymakers and contribute to China’s foreign exchange rate reform.

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Publisher statement:© 2020 the Author(s), licensee AIMS Press. This is an open access article distributed under the terms of the Creative Commons Attribution License (
Date accepted:20 April 2020
Date deposited:25 June 2020
Date of first online publication:06 May 2020
Date first made open access:25 June 2020

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