关键词: CNY市场 , CNH市场 , NDF市场 , 人民币汇率

Abstract: This study found that both onshore RMB spot rate and forward rate had a significant mean spillover effect on the change of offshore RMB forward rate, which indicated that the onshore market remains the pricing center of RMB. However, the empirical results also suggested a relatively smaller mean spillover from offshore spot market to onshore spot market.Meanwhile, there already existed channels for volatility spillovers and shock spillovers between the three markets (CNY market, CNH market and NDF market). Therefore, we concluded that the onshore market had become an incomplete pricing center of RMB. Viewed from the content and direction of these spillover effects, stabilizing the expectation of onshore RMB rate remained the key to reduce the excessive volatility of RMB exchange rate.

Key words: CNY market , CNH market , NDF market , RMB exchange rate