Empirical analysis of the impact of RMB offshore market in Hongkong on monetary policy in China
Yiqing Jiao, Lixin Ye
Available Online October 2017.
- https://doi.org/10.2991/febm-17.2017.49How to use a DOI?
- RMB offshore market; monetary policy; MS-VAR model; empirical analysis; impulse response analysis
- Combined with the Markov regime switching vector autoregressive model (MS-VAR), this paper empirically analyses the nonlinear relationship between the RMB Offshore Market in Hongkong and monetary policy under different regional regimes. The research finds MSIH(3)-VAR(2) model can better describe the relationship between variables. The data are divided into three regimes which are Regime 1(the RMB exchange rate difference between HK offshore market and onshore is negative, the RMB deposit scale in HK declines, the money supply grows slowly), Regime 2(the exchange rate difference is positive, the deposit scale grows slowly, the money supply grows rapidly) and Regime 3(the exchange rate difference is positive, the deposit scale grows rapidly, the money supply grows rapidly). In the three regimes, the changes of the mainland RMB supply are different.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
TY - CONF AU - Yiqing Jiao AU - Lixin Ye PY - 2017/10 DA - 2017/10 TI - Empirical analysis of the impact of RMB offshore market in Hongkong on monetary policy in China BT - Second International Conference On Economic and Business Management (FEBM 2017) PB - Atlantis Press SP - 375 EP - 382 SN - 2352-5428 UR - https://doi.org/10.2991/febm-17.2017.49 DO - https://doi.org/10.2991/febm-17.2017.49 ID - Jiao2017/10 ER -