Focusing on the pricing differential between the Renminbi onshore and offshore exchange rates, this paper characterizes the exchange rate fluctuations and investigates the effect of recent Renminbi currency market reforms. Using GARCH models, we find volatility clustering phenomena and leverage effect in the pricing differential. To estimate the effect of recent Renminbi currency market reforms on the linkage between the onshore and offshore markets, we construct an ARMA-Intervention model for distinguishing the short-run and long-run effects. These reforms are proved to either enlarge or shrink the pricing differential in the long run. We also find that recent Renminbi currency market reforms all increase the volatility of the pricing differential between the onshore and offshore exchange rates.