Juan Lin, Ximing Wu, Panye Yang: Dynamic dependence and risk spillovers between RMB onshore spot and offshore NDF markets

发表期刊：Applied Economics

发表时间：Published online: 27 Jun 2022

作者及单位：Juan Lin^a, Ximing Wu^b and Panye Yang^c

^a Department of Finance, School of Economics & Wang Yanan Institute for Studies in Economics, Xiamen University, China;

^b Department of Agricultural Economics, Texas A&M University, College Station, TX, USA;

^c Everbright Securities Asset Management Co. LTD, Shanghai, China

摘要：This paper investigates the dependence structure between the renminbi (RMB) onshore spot and offshore NDF markets using a GARCH-dynamic copula model. We document that the central parity reform in August 2015 marked a structural change in the dependence structure between the onshore spot and offshore NDF markets. Since the reform, the conditional correlation and tail dependence between the two markets have significantly increased and exhibited apparent timevarying patterns. We show that the difference between the central parity and spot rates and the degree of market segmentation between CNY and NDF markets are two crucial factors driving the time-varying CNY-NDF dependence. Furthermore, we find symmetric downside and upside risk spillovers between the two markets transmitted in both directions. The magnitude of spillovers has significantly increased since the reform. Our findings are particularly relevant for policy-making and portfolio risk management.

关键词：RMB onshore spot market; RMB non-deliverable forward (NDF) market; central parity reform; copula; GAS model