This paper investigates onshore and offshore RMB exchange rates’ bi-direction spillover effects with seven global and Asian currencies. We find that the onshore RMB exchange rate has more substantial global and Asia spillovers in both mean and volatility than offshore RMB. Offshore RMB exchange rate shows no outward level and ARCH spillovers to three widely traded global currencies. Moreover, we examine spillover effects changes along with RMB exchange rate policy reform. We found that although the volatility of both onshore and offshore RMB increased, the onshore RMB spillovers strengthen while offshore RMB spillovers decline.

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