Measuring the importance of RMB in the exchange rate spill-over networks: new indices of RMB internationalisation

Abstract Using an innovative network approach, this study constructs new indices of the renminbi (RMB) internationalisation and presents strong evidence of the RMB’s growing influence globally and regionally. We identify networks of exchange rate spill-overs and examine time-varying spill-over intensities among the RMB and world major currencies of G20 members as well as currencies related to the Belt and Road Initiative (BRI). Shocks from the RMB generate intensifying spill-overs across currency networks. The role of the RMB in the networks has increased steadily over time. Our findings highlight that the RMB has become increasingly important since China has initiated the marketisation reform of its currency and proposed to build the modern Belt and Road.