人民币在岸市场与香港离岸市场汇率溢出效应和联动机制研究:“8.11”汇改前后的比较  

Spillover Effect and Dynamic Correlation of Onshore and Offshore RMB Exchange Rate: A Comparison of Before and After "8.11" Exchange Rate Reform

作　　者：李婧[1] 吴远远[1] 赵啟麟 

机构地区：[1]首都经济贸易大学经济学院

出　　处：《世界经济研究》2017年第9期13-24,共12页World Economy Studies

基　　金：国家社会科学基金重大项目"‘一带一路’战略实施中推进人民币国际化问题研究"(项目编号:2015ZDA017)的阶段性研究成果

摘　　要：通过分析人民币在岸市场与香港离岸市场相互影响机制,并运用VAR模型和DCC-MVGARCH模型分别考察了"8.11"汇改前后CNY与CNH人民币汇率均值溢出效应和动态关联性。文章得出以下三点结论:一是汇改前CNY拥有人民币定价权;二是汇改后人民币汇率中间价报价机制发生变化,人民币定价权归属呈现阶段性特征;三是CNY与CNH之间原有的稳定联动机制受到汇率形成机制调整的冲击,两地汇率动态相关系数波动性增强。通过分析汇改后影响人民币定价权变动和两地联动机制的因素,文章建议促进在岸市场建设,巩固在岸市场人民币定价权;加强央行与市场的政策沟通,锚定市场预期,同时重视外部风险冲击,稳定两地汇率动态关联性。This paper analyses the correlative mechanism between CNY and CNH market,and estimates the mean spillover effect and dynamic correlation of CNY and CNH using VAR model and DCC-MVGARCH model.There are three conclusions as follows:First,the RMB pricing power was held by onshore market before the'8.11'exchange rate reform;Second,the RMB pricing power features differently at different stages after'8.11'exchange rate reform;Third,the stable dynamic correlation between two markets was disturbed by the adjustment of exchange rate adjustment.The volatility of dynamic correlation coefficient increased since reform.The paper explores the factors affecting RMB pricing power and dynamic correlation.We propose to promote the development of onshore market to strengthen RMB pricing power on onshore market,improve the communication between the central bank and the public to anchor public expectations,and attach more importance to external risks for stabling dynamic correlation between two markets.

关 键 词：在岸市场 离岸市场 汇率 动态关联性 DCC-MVGARCH模型 

分 类 号：F832.6[经济管理—金融学]