Research on the Spillover Effect Between RMB and Major Currencies in East Asia and Its Influencing Factors
This study utilizes a time-varying parameter vector autoregressive model with Diebold and Yilmaz spillover index to examine the regional influence of CNY,CNH,JPY,and KRW.It assesses the spillover effects from the perspective of exchange rate correlations and identifies factors influencing spillover effects.The findings indicate:firstly,the connectedness between CNY and CNH with JPY and KRW shows a general upward trend.Both CNY and CNH are transmitters in the system,while the JPY is receiver,and the KRW oscillates between being a transmitter and receiver.Secondly,both CNY and CNH exhibit significant spillover effects on JPY and KRW,indicating the established regional influence of the Renminbi.The CNY demonstrates a stronger impact compared to CNH.Thirdly,after the Renminbi exchange rate reform on August 11th,trade volume,financial market size,and economic policy uncertainty significantly impact the net spillover effects of CNY,while currency stability,financial market size,economic growth rate,and geopolitical risk index are crucial for CNH's net spillover effects.Other variables such as commodity prices have limited impact,mainly observed during crises or specific periods.
Onshore RMBOffshore RMBSpillover EffectTrilateral Monetary CooperationDynamic Model Averaging
万方数据
维普
