Spillover

Direction

Whole

A

B

C

D

E

Mean

CNH→CNY

0.0027**

−0.2606

−0.0086

0.0761**

0.1086***

0.0210

CNY→CNH

0.1023**

0.076

−0.0012

0.0572***

0.0361***

−0.1592

Volatility

CNH→CNY

0.0005

0.3504**

−0.0091

−0.0105

−0.0162

−0.0010

CNY→CNH

0.0769***

−0.0634

0.0113

0.0074***

0.0247***

0.0002