中文摘要：

本文构建了人民币外汇市场MVMQ-CAVia R模型,首次对境内外人民币外汇市场间极端风险溢出效应进行实证检验。结果表明,MVMQ-CAVia R模型可以较好地反映人民币在岸离岸市场极端风险暴露情况。即期价格中,两个市场间存在双向极端风险溢出,且在岸市场对离岸市场的风险溢出效应更强。远期价格中,只存在离岸市场对在岸市场显著的单向极端风险溢出。研究发现,离岸市场极端风险的历史信息可以用来预测在岸市场未来的极端风险情况。我国未来外汇市场改革应从加强汇率预期管理、提高在岸离岸市场互联互通程度等方面着手进行,同时还需防范离岸市场极端风险对在岸市场造成的负面影响。

英文摘要：

This paper studies the linkage between the Onshore-Offshore RMB foreign exchange markets in the extreme risk perspective. By using the MVMQ-CAViaR model and quantitative method, we test the extreme risk spillover effect be- tween the two markets. The results indicate that, the MVMQ-CAViaR mode/can reflect the extreme risk exposures of onshore and offshore RMB foreign exchange markets in China. In spot price, there are bidirectional extreme risk spillover effects be- tween markets, and the risk spillover from onshore market to offshore market is stronger. In forward price, there is only unidi- rectional extreme risk spillover effect from offshore market to onshore market. We also find that, the history information of off- shore market extreme risk will be helpful to predict the onshore market extreme risk. Based on the results above, we suggest that the central bank should strengthen the expectation management, increase the linkage between the onshore-offshore mar- kets and prevent the extreme risk spillover from the offshore market.