This paper investigates determinants which impact the fluctuations of CNY-CNH exchange rate spreads after the "8.11" exchange rate reform in 2015. By using the extended GARCH model, the results show that global risk preference, domestic and foreign interest rate margin, the introduction of counter-cyclical factor, as well as fluctuations in the international foreign exchange market would promote the fluctuations of CNY-CNH spreads, while the future RMB expectation and liquidity of offshore market bring the inhibitory effects.
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Zhong et al. (2020) studied this question.
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