Abstract：
By adopting DCC-GARCH(1, 1) and multivariate TAR threshold model respectively, this article measures the correlations between exchange rates of CNY, CNH and NDF. Then it analyzes factors that impact their dynamic interactive relationships under three anticipated conditions of appreciation, depreciation and transformation. As is shown in the empirical results, there are strong interactive relationships between exchange rates of CNY, CNH and NDF, among which, the guidance effect of the offshore CNH market is the strongest, the NDF market takes second place, and the onshore CNY market is the last. There is the possibility that the pricing power of RMB exchange rate can be handled to the offshore market. The external influencing factors, such as the expectation of fluctuation in international capital market and the difference in the exchange rates between China and America, can be the main reasons for the transfer of the pricing power of RMB. Therefore, when a market-oriented reform of RMB exchange rate is being promoted, the same reform should be carried out in RMB interest rate, in addition to efforts in preventing international market speculation. Otherwise, the exchange rate reform is likely to be impeded by the tardy interest rate reform and insufficient financial regulation.
SHI Jian-xun， SUN Liang.The Argument over the Pricing Power of RMB Exchange Rate——Based on the Interactive Relationship Between Onshore and Offshore Exchange Rates[J] Economic Survey, 2017,V34(5): 49-55
2017 
