RMB and Non-Usd Currency Spillovers Before and after the Covid-19 Pandemic Evidence from 30-Minute High-Frequency Data

Amid the faster- and wider-than-expected spread of COVID-19, which has added new twists to the global economic outlook and profoundly impacted the performance of major currencies around the world, the RMB has been performing well, and thus, its market standing has improved. However, uncertainties about the future pose enormous challenges to RMB internationalization. By processing 30-minute high-frequency data, this paper aims to study changes in the characteristics of the relationship between the RMB and other non-USD currencies at three stages of the pandemic first by means of auxiliary regression analysis, in which the pandemic is accounted for with a dummy variable, and then with a VAR-BEKK-GARCH model. The research shows that since the outbreak of the global pandemic, the independence and influence of offshore RMB has improved significantly, and there have been structural changes in the sustainability of mean spillover and volatility spillover effect between other currencies. As the “regular epidemic prevention and control” is beginning to take hold and Sino-US relations are increasingly uncertain, the top priority should be to steadily accelerate RMB internationalization