As an important part of RMB internationalization，the cultivation and development of offshore RMB market is of great significance to expand the influence of RMB in the countries along the line of the “Belt and Road” initiative，promoting RMB from peripheral to regional，and finally to globalization. In this paper，we use VAR-BEKK-MVGARCH-DCC model to study the dynamic relationship between Hongkong offshore and onshore RMB and the exchange rates of the main countries along the “Belt and Road” initiative. The results show that offshore RMB has significant mean spillover effect and volatility spillover effect on more currency exchange rates，and it is more susceptible to the influence of the main currency exchange rates along the “Belt and Road” initiative. The dynamic related relationship between offshore and onshore RMB and the major countries currency exchange rate along the “Belt and Road” initiative have strong persistence，but their dynamic correlation coefficients fluctuate greatly. It shows that offshore RMB has a strong dynamic linkage with the countries along the “Belt and Road” initiative，but like onshore RMB，it has not yet formed a stable dynamic correlation. Therefore，we should further promote the construction of offshore RMB market，deepen the reform of RMB exchange rate system，strengthen the supervision of RMB market，encourage the cross-border use of RMB，improve the RMB internationalization infrastructure.