Abstract:
This paper uses the dynamic spillover index based on cointegrated VAR model for the first time, to evaluate the influence of 811 Exchange Rate Reform comprehensively, and to examine the effectiveness of 811 Exchange Rate Reform quantitatively. Our results show that, from the beginning of 2013 to 811 Exchange Rate Reform, the directional spillover of the central parity declined continuously, and its market-orientation and benchmark level decreased constantly. So it is very necessary to choose the right time to improve quotation of the central parity. After 811 Exchange Rate Reform, the overall spillover of exchange rate system of RMB against US dollar, the directional spillover received by the central parity from all other prices, and the directional spillover transmitted by the central parity to all other prices displayed a clear upward trend. At the same time, the mutual spillover structure between the central parity and single exchange rate also changed significantly and the effects of onshore CNY spot and future markets further highlighted. Therefore, 811 Exchange Rate Reform has achieved the desired effect, the linkage level of the entire system increased substantially, the market-orientation and benchmark status of the central parity has been enhanced. At present, there is no difference between the size of the central parity receives information spillover and that of other market prices, the market-orientation level of the central parity can meet the needs of the benchmark exchange rate. However, although the external spillover of the central parity improved obviously after 811 Exchange Rate Reform, compared with other market prices, the ability that the central parity influences other prices is weaker. That is to say, the benchmark level of the central parity should be further enhanced, and this is the direction of further reform.
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