With the advance of RMB internationalization,the scale of RMB offshore market has been expanding. It is important to study the linkage mechanism and interaction between the offshore and onshore market exchange rates to explore the RMB pricing power and risk management in the RMB internationalizationprocess.This paper employ the VAR-GARCH( 1,1)-BEKK model to analyze the impact transmission effect between the onshore/offshore spot and forward RMB exchange rates,especially the mean spillover effect and volatility spillover effect. It finds that: 1) The mean spillover effects and volatility spillover effects in the two markets are significant,but the onshore market has a bigger impact on the offshore market,while the offshore market forward exchange rate leads the onshore forward exchange rate; 2) The impact of the offshore market on the onshore market after the “8. 11 exchange rate reform”has increased,and the linkage between the two markets has become more significant; 3) The impact of the US dollar on both onshore and offshore RMB exchange rates is very significant,but even after control the US dollar exchange rate,the exchange rate spillover effect between onshore and offshore RMB exchange markets still exists.