人民币汇率“在岸—离岸”随机动态均衡研究  

The Stochastic Dynamic Equilibrium of "Onshore-Offshore" of RMB Exchange Rate

作　　者：刘一楠[1] 宋晓玲[2] Liu Yinan Song Xiaoling(School of Economics, Fudan University, Shanghai 200433, China Business School,Beijing language and Culture University, Beijing 100083, China)

机构地区：[1]复旦大学经济学院,上海200433 [2]北京语言大学商学院,北京100083

出　　处：《金融经济学研究》2017年第1期3-13,共11页Financial Economics Research

基　　金："十二五"国家科技支撑计划项目(2014BAL07B03)

摘　　要：建立一个内嵌金融资产交易与资本流动成本的理论模型,证明实际汇率决定于在岸与离岸间的金融资产交易与资金流动成本,对资本流出的限制将缓解人民币贬值压力。进一步建立TVP-SV-VAR模型,基于2012年6月至2016年6月在岸与离岸市场汇率数据,引入随机时变经济波动,在不确定性条件下最大限度地模拟随机冲击导致的经济结构时变性变化,以分析2012年至2016年在岸汇率与离岸汇率的动态均衡。研究结果表明,"在岸-离岸"随机动态均衡呈现非对称性与时变性;2015年"811汇改"后"在岸-离岸"随机动态关系出现结构性突变,因此需警惕国际市场波动与离岸汇率冲击带来的人民币贬值压力。A theoretical model embedded with financial assets transactions and capital -flow cost is established to verify the stochastic equilibrium of ＂ onshore -offshore＂ RMB exchange rate. As real exchange rate depends on financial assets transactions and cost, and restrains on out- flow of capital help to ease the pressure of depreciation of RMB, this paper also establishes a TVP -SV- VAR model to analyze data from June 2012 to June 2016 in order to better show the asyrrm^try and time-variance of ＂onshore-offshore ＂correlation. The results show that,the shift in the mecha- nism of determining exchange rate after ＂811 exchange rate reform＂ leads to a structural change in ＂onshore-offshore＂ stochastic equilibrium ,which enhances the information flow from onshore market to offshore market. Meanwhile, depreciation pressure on RMB will be impacted greatly by the continuous volatility of international market and shocks from offshore exchange rate, which therefore requires vigilance against.

关 键 词：人民币汇率 TVP-SV-VAR模型 随机动态均衡 

分 类 号：F832.61[经济管理—金融学]