The Extreme Risk Contagion Between the International Financial Market and RMB Onshore and Offshore Exchange Rate
Under the background of the changeable fiscal and monetary policies of western countries and China's high-level opening-up,extreme risks occur frequently in the international financial market.As a key variable of the mutual promotion of the dual circulation,RMB exchange rate is easily affected by these extreme risks.In this paper,GARCH-Copula-CoVaR model is used to analyze the intensity,non-linear characteristics,and dynamic changes of extreme risk two-way contagion between international finan-cial market and RMB onshore and offshore exchange rate,as well as the transformation of contagion char-acteristics before and after the reform of RMB exchange rate formation mechanism.It is found that the con-tagion of extreme risks in international financial market to RMB offshore exchange rate is stronger than that of onshore exchange rate,and the outgoing contagion of extreme risks of RMB onshore exchange rate is weaker and the change is smaller.Compared with the offshore exchange rate,the extreme risk of RMB on the international financial market is weaker,and the intensity change is small.The extreme risk of the VIX has the strongest contagion on the onshore and offshore exchange rate,and should be vigilant when the VIX is above 30.This implies that the management of China's offshore and onshore RMB markets and the ongoing cross-border capital flow management measures are effective in maintaining China's financial secu-rity and stability.Therefore,this paper has important value on how to prevent the negative impact of two-way transmission of extreme risks in international financial market and RMB exchange rate,and maintain the security and stability of China's economy and finance.
International financial marketRMB onshore and offshore exchange rateExtreme riskGARCH-Copula-CoVaR model
万方数据
维普
