市场融合、汇率联动及人民币的国际化

Abstract:based on the literature review，this paper use DCC-MVGARCH model to find the dynamic correlation between Hong Kong non-deliverable forward rates，onshore spot rates and Hong Kong offshore spot rates，and the dynamic correlation between New York non-deliverable forward rates，onshore spot rates and Hong Kong offshore spot rates. We find RMB onshore market and both of offshore markets have significant relationships，which show the internationalization of RMB is remarkable. The dynamic relationships of non-deliverable forward rates，onshore spot rates and Hong Kong offshore spot rate fluctuate greatly. The dynamic correlation of Hong Kong non-deliverable forward rates，onshore spot rates and Hong Kong offshore spot rates is bigger than that of New York non-deliverable forward rates，onshore spot rates and Hong Kong offshore spot rates. All these dynamic relationships reflect that globalization of RMB has been making great progress

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