Журнал глобальной экономики

Analysis on Effect of Volume Factor on CNY-CNH Exchange Rate Linkage

Abstract

Lu Changrong, Yu Lizhu and Ding Jianping

Researches regarding CNY onshore and offshore exchange rate linkage have been mainly focused on the discussion of price overflow effect due to a long-term restriction of the source of trading volume data at the foreign exchange market. Meanwhile, the impact of the trading volume on the formation of the two exchange rates was relatively ignored. This paper takes the initiative to introduce trading volume into the CNY exchange rate onshore and offshore price analysis framework. It innovatively applies SEM model and MLMV research method to analyze new characteristics represented in the CNY, CNH and NDF price guidance and formation mechanism of the two markets after the introduction of the trading volume factor. It verifies the complexity in onshore and offshore market linkage process under the impact of trading volume on aspects of statistics and significance. Through improving the study on onshoreoffshore CNY exchange rate dynamic transmission mechanism, this paper provides beneficial reference on the policy level for improving monetary policies and optimizing exchange rate volatility management.