国际金融市场波动对离在岸人民币汇差的动态影响研究  

A Study of Dynamic Effects of Volatility of International Financial Markets on The Disparity of Offshore and Onshore RMB Exchange Rates

作　　者：邢雅菲[1,2] 

机构地区：[1]辽宁大学经济学院,辽宁沈阳110036 [2]山东财经大学金融学院,山东济南250014

出　　处：《经济与管理评论》2017年第3期98-107,共10页Review of Economy and Management

基　　金：国家社会科学基金项目"人民币国际化战略下货币竞争与危机防范对策研究"(项目编号:16BGJ004);山东省高校人文社会科学研究计划项目"金融危机对境内外人民币汇率相关性的影响研究"(项目编号:J16WE20)的阶段性成果

摘　　要：首先从理论上剖析了国际金融市场波动对离在岸人民币汇率相关性的影响机制,随后利用2011年8月至今的离在岸人民币即、远期汇率,以及美国VIX指数数据,构建了VEC模型进行了实证分析。结果表明VIX指数波动是导致离在岸人民币汇差变动的重要影响因素,市场之间信息具有相互传导机制。最后本文建议当前应稳步实行汇率"双轨制",加强对离岸人民币外汇市场的监测,进一步寻求离在岸市场协调发展的长效机制。This paper firstly dissects theoretically the mechanism that volatilities of international financial markets affect pertinency of onshore and offshore RMB exchange rates, then used both onshore and offshore RMB spot and forward exchange rates between August 2011 and August 2016 and the data of American VIX to construct a VEC model to make an empirical analysis. The study shows that VIX is the significant factor causing the disparity of onshore and offshore RMB spot rate, and there exist mechanisms of information transmission between markets. Finally, this paper suggests steadily implementing RMB exchange rate ＂dual price system＂, strengthening supervision on offshore market from impacts of international markets, and pushing forward harmonious developments of onshore and offshore RMB markets.

关 键 词：国际金融市场 离岸市场 在岸市场 汇差 

分 类 号：F832.6[经济管理—金融学]