Financial openness, major events, and exchange rate linkage: Empirical analysis based on the DCC-MIDAS model

IF 9.8 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis Pub Date : 2025-08-21 DOI:10.1016/j.irfa.2025.104578

Wenwen Zhang , Yaosong Zhan , Yiwei Liang

引用次数: 0

Abstract

This study examines the comovement between China's offshore RMB exchange rate and the currencies of 11 Asia-Pacific countries from 2013 to 2022 using daily data and the DCC-MIDAS model. We hypothesize that improved financial openness enhances this comovement, while major political and economic events weaken it in the short term. In the long run, endogenous events strengthen the comovement, whereas exogenous events further diminish it. The results show that the 811 Exchange Rate Reform significantly strengthened the comovement, while the China–US trade war and COVID-19 reduced it in the short term. Over time, the trade war increased the comovement. However, the pandemic continues to weaken it, thus highlighting the offshore RMB's evolving regional influence amid financial reforms and global shocks.

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金融开放、重大事件与汇率联动：基于DCC-MIDAS模型的实证分析

本文采用DCC-MIDAS模型，运用日常数据对2013 - 2022年中国离岸人民币汇率与11个亚太国家货币的变动进行了实证研究。我们假设，金融开放程度的提高会增强这种运动，而重大政治和经济事件在短期内会削弱这种运动。从长期来看，内源性事件加强了运动，而外源性事件进一步削弱了运动。研究结果表明，811汇率改革显著强化了这一趋势，而中美贸易战和新冠肺炎疫情在短期内削弱了这一趋势。随着时间的推移，贸易战加剧了这种运动。然而，疫情持续削弱了这一优势，凸显了离岸人民币在金融改革和全球冲击中不断演变的地区影响力。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

International Review of Financial Analysis BUSINESS, FINANCE-

CiteScore

10.30

自引率

9.80%

发文量

366

期刊介绍： The International Review of Financial Analysis (IRFA) is an impartial refereed journal designed to serve as a platform for high-quality financial research. It welcomes a diverse range of financial research topics and maintains an unbiased selection process. While not limited to U.S.-centric subjects, IRFA, as its title suggests, is open to valuable research contributions from around the world.