Author(s)

Jian Kang

Corresponding Author

Jian Kang

ABSTRACT

The "811 Foreign Exchange Reform" further improved the RMB exchange rate mid-price quotation mechanism, and the linkage between the foreign exchange market and the domestic bond market was significantly enhanced. Based on the data of the RMB exchange rate and the bond market after the "811 Foreign Exchange Reform", this article explored the impact of RMB exchange rate fluctuations on the domestic bond market. This article first theoretically deduced the mechanism and path of the impact of RMB exchange rate fluctuations on the domestic bond market, mainly from the macro and micro perspectives. The VAR model was then used as a tool for empirical analysis of the article. The results show that the devaluation of the RMB will increase the bond market in the short term, and the magnitude is not obvious, but in the long run, the negative effect will continue.

KEYWORDS

RMB exchange rate, Domestic bond market, VAR model