美联储货币政策中性化背景下人民币外汇市场间均衡关系调整和溢出效应研究  

The Equilibrium Adjustment and Spillover Effects of RMB Exchange Rate Markets under the Context of US Monetary Policy Normalization

作　　者：孙欣欣[1] 卢新生[2] 

机构地区：[1]同济大学经济与管理学院 [2]济南大学商学院

出　　处：《世界经济研究》2017年第1期41-59,共19页World Economy Studies

基　　金：国家自然科学基金项目"货币政策调整与国内资产价格波动:基于多维GARCH方法的实证分析"(项目编号:71173088)的资助

摘　　要：文章选用二变量VECM-GJR-MVGARCH(1,1)-BEKK扩展模型,分析了在美联储货币政策冲击影响下的在岸人民币即期和远期汇率,在岸远期和离岸远期汇率间长期均衡关系调整、均值溢出、波动溢出以及非对称效应。实证结果表明,(1)在岸即期汇率对远期汇率有引导作用,主要由在岸远期汇率进行调整以实现即期、远期汇率间的长期均衡关系,意料之外的美联储加息会导致即期、远期汇率的贬值,并减小即期汇率的波动率;(2)在岸远期汇率引导离岸远期汇率,离岸远期市场处于信息波动的中心位置,意料之外的美联储加息会导致在岸、离岸远期汇率的贬值;(3)各外汇市场具有较强的波动集聚性,在岸即期汇率对远期汇率有较强的波动溢出效应和非对称效应,离岸远期汇率对相应期限的在岸远期汇率有显著的波动溢出和非对称效应,美国货币政策冲击对在岸、离岸远期外汇市场的波动率和波动溢出效应有显著影响。因此,投资者和政策制定者在决策时不仅要考虑不同人民币外汇市场间的长期均衡关系调整、均值溢出、波动溢出以及非对称效应,也应重点关注美国货币政策对人民币汇率水平和波动可能带来的影响。This paper adopts the bivariate VECM-GJR-MVGARCH( 1,1)-BEKK extension model to analyze the long-term equilibrium adjustments,spillover effects and asymmetric effects between onshore RMB spot rates and forward rates,and between onshore RMB forward and offshore RMB forward rates. The empirical results show that:( 1) Onshore spot rates lead the forward rates and the forward rates adjust to maintain the equilibrium between onshore spot and forward rates. Positive US monetary policy shocks depreciate the rates and decrease the volatility of spot rates;( 2) Onshore forward rates lead the offshore forward rates and positive US monetary policy shocks depreciate both rates;( 3) Strong volatility clustering exists in RMB exchange rate markets with onshore spot market having strong volatility spillover effects and asymmetric effects on forward market,while offshore forward market having strong volatility spillover effects and asymmetric effects on onshore forward markets. US monetary policy shocks have significant impacts on volatility and the volatility spillover effects between onshore and offshore forward markets. Thus,investors and policymakers need to take into account the long-term equilibrium adjustments,spillover effects and asymmetric effects between different RMB exchange rates,and account for the impact of US monetary policy shocks on RMB exchange rate level and volatility.

关 键 词：人民币汇率 均衡关系调整 溢出效应 美联储货币政策冲击 

分 类 号：F832.6[经济管理—金融学]