Proceedings of the Second International Conference On Economic and Business Management (FEBM 2017)

Empirical analysis of the impact of RMB offshore market in Hongkong on monetary policy in China

Authors
Yiqing Jiao, Lixin Ye
Corresponding Author
Yiqing Jiao
Available Online October 2017.
DOI
https://doi.org/10.2991/febm-17.2017.49How to use a DOI?
Keywords
RMB offshore market; monetary policy; MS-VAR model; empirical analysis; impulse response analysis
Abstract
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.
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Proceedings
Second International Conference On Economic and Business Management (FEBM 2017)
Part of series
Advances in Economics, Business and Management Research
Publication Date
October 2017
ISBN
978-94-6252-423-1
ISSN
2352-5428
DOI
https://doi.org/10.2991/febm-17.2017.49How to use a DOI?
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  -