Spillover effects of RMB exchange rate among B&R countries: Before and during COVID-19 event.

The proposal of "The Belt and Road" (The B&R) Initiative has promoted regional economic cooperation and financial integration. It is crucial to measure the volatility spillover effects among "The B&R" currency market. Results from the time-varying spillover model show that "The B&R" system spillover index reflects some sudden regional crises. Likewise, the spillover of RMB exchange rate is affected by internal financial reforms as well as external economic shocks. Further, the recent outbreak of the COVID-19 has disrupted this system and the influence of RMB.