基于前人研究,笔者构建DCC-GARCH模型克服恒定联动系数的局限性,实证研究人民币在岸离岸汇率的非线性动态联动关系,发现在岸离岸汇率间存在持久、显著的联动关系,且联动系数具有长期记忆性和动态时变性。在此基础上,构建SVAR模型实证研究人民币在岸离岸汇率联动性的影响因素,发现在岸离岸市场的风险偏好差异、汇率差异、利率差异均对其联动效应有负向影响,差异越大在岸离岸汇率联动系数越小;而以“811”汇改为代表的人民币定价机制改革则能显著提高在岸离岸汇率的联动性。据此,提出充分利用在岸离岸汇率联动性引导离岸人民币预期、深化利率市场化改革实现资金价格市场化定价、多元化外汇市场交易类型促进汇差收敛、主动掌握人民币定价权、完善人民币汇率形成机制等政策建议。
Abstract
Based on previous studies,this paper constructs a DCC-GARCH model overcoming the limitations of Constant Interaction Coefficient to study the nonlinear dynamic linkage between CNY and CNH.We find that the linkage is lasting and significant,and the linkage ratio has the long memory and dynamic time-varying characteristics.On this basis, we construct the SVAR model to test the affecting factors of the linkage,and we find that the differences in risk appetite,exchange rate and interest rates between onshore and offshore markets have a negative impact on the linkage,in particular,the greater the differences are,the smaller the linkage coefficient is.However,the“811”reform of RMB pricing mechanism could improve the linkage significantly.Then we put forward the relevant policy recommendations such as to make full use of the linkage to guide the offshore RMB expected,to deepen the reform of interest rate marketization to realize market pricing of capital price,to diversify the foreign exchange market transactions to promote convergence,to controll the RMB pricing by strengthening interconnection between CNY and CNH,and to improve the exchange rate formation mechanism and so on.
关键词
人民币汇率 /
在岸离岸联动关系 /
影响因素 /
实证检验
{{custom_keyword}} /
Key words
RMB exchange /
The linkage between onshore market and offshore market /
Factors /
Empirical test
{{custom_keyword}} /
中图分类号：
F831
{{custom_clc.code}}
({{custom_clc.text}})
{{custom_sec.title}}
{{custom_sec.title}}
{{custom_sec.content}}
参考文献
[1] 黄学军,吴冲锋.离岸人民币非交割远期与境内即期汇率价格的互动:改革前后[J].金融研究,2006(11):83-89.
[2] 代幼渝,杨莹.人民币境外NDF汇率、境内远期汇率与即期汇率的关系的实证研究[J].国际金融研究,2007(10):72-80.
[3] Ma G,McCauley R N.Efficiency of China's Capital Controls:Evidence from Price and Flow Data[J].Pacific Economic Review,2008(1):104-123.
[4] 严敏,巴曙松.境内外人民币远期市场间联动与定价权归属:实证检验与政策启示[J].经济科学,2010(1):72-84.
[5] Gu L, McNelis P D. Euro Volatility and Chinese Fear of Floating:Pressures from the NDF Market[R].Fordham University Working Paper,2011.
[6] Maziad S,Kang J S. RMB Internationalization:Onshore/Offshore Links[R].IMF Working Paper,WP/12/133,May 2012.
[7] Cheung Y W, Rime D. The Offshore Renminbi Exchange Rate:Microstructure and Links to the Onshore Market[R].CESIFO Working Paper,No.4850,2014.
[8] 盛宝莲,庆楠. 基于CNH 市场建立前后数据的境内外人民币汇率联动分析[J].华东师范大学学报(哲学社会科学版),2015(2):124-132.
[9] 乔依德,李蕊,葛佳飞. 人民币国际化:离岸市场与在岸市场的互动[J].国际经济评论,2014(2):93-104.
[10] Murase T. Hong Kong Renminbi Offshore Market and Risks to Chinese Economy[R]. Institute for International Monetary Affairs Newsletter,No.40,2010.
[11] 张明,何帆.人民币国际化进程中在岸离岸套利现象研究[J].国际金融研究,2012(10):47-54.
[12] 刘志平. 811 汇改以来离岸人民币和在岸人民币价差研究——人民币与美元汇率逐步脱钩的时代,离岸和在岸价差将何去何从?[J].商,2015:173-175.
[13] 潘丽英.正确处理人民币国际化目标与手段的关系——兼评加入 SDR 的意义[J].探索与争鸣,2016(1):79-82.
[14] 邓黎桥.人民币离岸价格与在岸价格联动与协调研究——基于 TVP-VAR 模型的分析[J].价格理论与实践,2015(12):124-126.
[15] Whalley J,Chen H. Are Offshore RMB Arrangements the Basis for a Long-term Exchange Rate System without Convertibility?[J] China and the World Economy,2013(1):26-46.
[16] Ding D K,Tse Y,Williams M R.The Price Discovery Puzzle in Offshore Yuan Trading:Different Contributions for Different Contracts[J].Journal of Futures Markets,2014,34(2):103-123.
[17] 刘辉.人民币离岸市场与在岸市场互动机制的实证分析[J].宏观经济研究,2014(1):89-96.
[18] 刘华,李广众,陈广汉.香港离岸人民币汇率已经发挥影响力了吗[J].国际金融研究,2015(10):3-11.
[19] 阙澄宇,马斌. 人民币在岸与离岸市场汇率的非对称溢出效应——基于VAR-GJR-MGARCH-BEKK模型的经验证据[J].国际金融研究,2015(7):21-32.
[20] 崔学刚,邓衢.境内外人民币汇率影响研究——基于香港离岸市场双重功能分析的视角[J].北京工商大学学报(社会科学版),2016(1):102-108.
[21] 周先平,李标.境内外人民币即期汇率的联动关系——基于VAR-MVGARCH的实证分析[J].国际金融研究,2013(5):4-14.
[22] 吴天洋.离岸人民币与在岸人民币的互动关系分析[J].安徽农业大学学报(社会科学版),2015(3):46-49.
[23] 杨帆.人民币国际化进程中在岸与离岸市场汇率联动研究[J].统计与决策,2015(19):149-152.
[24] Dumas B,Solnik B.The World Price of Foreign Exchange Risk[J].The Journal of Finance,1995,50(2):445-479.
[25] 金荦,李子奈.中国资本管制有效性分析[J].世界经济,2005(8):22-31.
[26] Ma G,McCauley R N. Efficacy of China's Capital Controls:Evidence from Price and Flow Data[J].Pacific Economic Review,2008,131:104-123.
[27] 叶允平.人民币在岸和离岸汇率关系探讨[J].国际金融,2015(12):41-44.
[28] 朱孟楠,张雪鹿.境内外人民币汇率差异的原因研究[J].国际金融研究,2015(5):87-96.
[29] 郭敏,贾君怡.人民币外汇市场稳定性管理——基于内地与香港人民币汇率价差的视角[J].国际贸易问题,2016(1):155-165.
[30] Skintzi V D,Refenes A N. Volatility Spillovers and Dynamic Correlation in European Bond Markets[J]. Journal of International Financial Markets Institutions and Money,2006(1):23-40.
[31] 周先平,李敏,刘天云.境内外人民币债券市场的联动关系及其影响因素分析[J].国际金融研究,2015(3):44-53.
{{custom_fnGroup.title_cn}}
脚注
{{custom_fn.content}}
PDF(1219 KB)
