关键词: 人民币利率, 递归MVMQ-CAViaR模型, 极端风险溢出

Abstract: It uses the recursive MVMQ-CAViaR model to test the extreme risk spillover effect between onshore and offshore RMB interest rates. The results indicate that there are extreme risk spillover effect between onshore and offshore RMB interest rates, and short-term interest rates show significant bidirectional extreme risk spillover, while the long-term interest rates show unidirectional spillover from onshore to offshore. The onshore market is still maintaining its status as the interest rate information center in the extreme risk level. When the offshore RMB interest rate has an extreme change, the central bank will take timely intervention and guide the expectation of market participants to reduce the extreme risk of the onshore interest rate in the future. But facing with a small shock from offshore market, the central bank is more inclined to let the onshore market interest take self-adjustment, and offshore shock will increase the future extreme risk of the onshore interest rate. Our model has good predictive ability, which helps the financial regulatory authorities to manage the offshore interest rate extreme risk dynamically and accurately.

Key words: RMB Interest Rate, Recursive MVMQ-CAViaR Model, Extreme Risk Spillover