关键词: 人民币国际化, 离岸市场, 同业拆放利率, 联动关系

Abstract: In the course of RMB internationalization, the development of the offshore RMB market plays a decisive role. Clarifying the linkage relationship between onshore and offshore financial markets is of great practical significance for preventing and controlling financial risks and improving the effectiveness of domestic financial policies. Based on an analysis of the time series data between SHIBOR and CNH HIBOR, the paper uses Granger causality test and VAR-GARCH-BEKK model to test the return spillover and volatility spillover effects of interbank offered rate between onshore and offshore market. The results show that, both domestic and foreign interbank offered rate have linear autocorrelation and ARCH effect; from the perspective of reward spillover effect, when the capital market opening policy was introduced, the domestic interbank offered rate showed a significant reward spillover, but when the market fluctuated abnormally, the foreign interbank offered rate linearly guided the domestic interest rate; from the perspective of volatility spillover effect, with the progress of RMB internationalization and the development of offshore market, the two-way volatility spillover effect between domestic and foreign interbank offered rate gradually appears; from the perspective of dynamic correlation coefficient, the dynamic correlation coefficient between domestic and foreign interbank offered rate is increasing and mostly positive in the near future. Generally speaking, in terms of compensation spillovers, with the promotion of capital market opening policy, the linear relationship between domestic and foreign interbank offered rate is becoming more and more obvious, and when the market is in an abnormal period, offshore interest rate has become an information center; in terms of volatility spillovers, volatility spillovers have always existed at home and abroad. With the passage of time, offshore market has become more and more mature, offshore interest rates have begun to generate volatility spillovers on onshore interest rates, and have been reflected in more and more types of interest rates. With the accelerating internationalization of RMB, offshore market has begun to exert more and more important influence on onshore market. Therefore, further promoting the opening of capital account, deepening the reform of domestic financial market, perfecting the construction of offshore market and improving the liquidity management ability of domestic and foreign monetary authorities will promote offshore and onshore market associations.

Key words: RMB internationalization, offshore market, interbank offered rate;linkage relationship