Directional Extreme Risk Spillovers Between Onshore and Offshore Renminbi Markets: Evidence From Financial Events
本文用多分位数风险格兰杰因果方法，从方向视角研究在岸与离岸人民币外汇市场间的极端风险溢出，发现不对称效应，并揭示811汇改、中美贸易摩擦和新冠疫情等重大事件如何影响风险传导方向。
ABSTRACT The frequent shocks arising from policy reforms, trade tensions and black swan events have significantly contributed to fluctuations in the foreign exchange (FX) markets. By employing the method of Granger causality in risk with multiple quantiles, this paper examines extreme risk spillovers between onshore and offshore Renminbi (RMB) FX markets from a directional perspective. The results indicate asymmetric spillover effects, with particular emphasis on the direction of appreciation risks. Additionally, we highlight that major financial events influence the direction of risk spillovers through information transmission mechanisms. For instance, the ‘811 reform’ amplifies offshore market spillovers, Sino–U.S. trade tensions enhance depreciation spillovers from the onshore market and the COVID‐19 pandemic underscores the heightened significance of the extreme risk spillovers. Further mechanism and portfolio analyses confirm that both policy‐driven and market‐driven factors significantly impact extreme risk spillovers. Specifically, lower interest rates or an expanded money supply may trigger offshore appreciation risks, potentially serving as a hedge against onshore depreciation risks.