In this study, we leverage various price discovery measurements to investigate whether and how the addition of the Chinese yuan in Special Drawing Right (SDR) affected price discovery in onshore (USD/CNY) and offshore (USD/CNH) markets. The results show that the less regulated offshore exchange rates contribute more to price discovery than the onshore rates do. Including the yuan in SDR does not change the relative price discovery contributions of the onshore and offshore markets, and more importantly, it enhances the overall price efficiency in both markets, due to lower autocorrelations in the error correction term and fewer arbitrage opportunities. In particular, the price spreads between the onshore and offshore markets decrease, implying that arbitrage opportunities have diminished, as market integration has increased, following the inclusion of the yuan in SDR.

在这项研究中，我们利用各种价格发现量度来研究在特别提款权（SDR）中添加人民币是否以及如何影响陆上（USD / CNY）和离岸（USD / CNH）市场中的价格发现。结果表明，受监管程度较低的离岸汇率比在岸汇率对价格发现的贡献更大。将人民币包括在特别提款权中并不会改变在岸和离岸市场的相对价格发现贡献，更重要的是，由于纠错期的自相关性较低且套利机会较少，因此它提高了两个市场的整体价格效率。特别是，在岸和离岸市场之间的价差减少，这意味着随着市场整合的增加，套利机会减少了，