人民币国际化进程中不同市场汇率动态关联性研究——基于VAR-MGARCH-BEKK模型的分析  

Dynamic Interrelation among Different Exchange Rate under the Process of RMB Internationalization

作　　者：陈文慧[1] 

机构地区：[1]中国人民银行南宁中心支行,广西南宁530028

出　　处：《区域金融研究》2013年第10期31-37,共7页Journal of Regional Financial Research

摘　　要：人民币的国际化不仅是中国经济发展的结果,也是经济发展的需要。本文在人民币国际化进程不断加快的背景下,尝试通过VAR-MGARCH-BEKK模型研究,探讨了人民币在岸市场(CNY)即期汇率、香港人民币离岸市场(CNH)即期汇率和海外人民币无本金交割市场(NDF)远期汇率间的领先滞后关系和因果关系,以及CNH市场的建立与发展对NDF、CNY市场效率的影响动态交互关系。研究结果表明,NDF市场的溢出效应和价格引导能力最强,其次是CNY市场,CNH市场的溢出效应和价格引导能力最弱。同时,随着CNH市场的不断壮大,其在国际市场的地位正在逐渐提高,会进一步促进人民币国际化。Internationalization of RMB is not only the result of the development of China＇s economy, but also the needs of economic development. With the background of the accelerated process of internationalization of the RMB, VAR-MGARCH-BEKK model was used to explore the lead-lag and causality relationship among onshore RMB mar ket （CNY） spot exchange rate, Hong Kong＇ s RMB offshore market （CNH） spot rate and overseas RMB non-deliverable market （NDF）, also the dynamic interactions between the establishment and development of CNH market for NDF, i CNY market efficiency in the present study. The results showed that NDF market spillover effects and the ability to price guide are the strongest, followed by the CNY market, CNH market spillovers is the weakest. However, with the scale growing and the position improving, the CNH market will further promote the internationalization of RMB.

关 键 词：人民币在岸市场 人民币离岸市场 NDF 溢出效应 VAR-MGARCH-BEKK 

分 类 号：F822.0[经济管理—财政学]