在岸与离岸人民币汇率价差影响因素研究  

A Research on the Influencing Factors of Onshore and Offshore RMB Exchange Rate Spreads

作　　者：陈珂[1] 王萌 

机构地区：[1]湖南大学金融与统计学院,湖南长沙410079

出　　处：《财经理论与实践》2017年第5期7-13,共7页The Theory and Practice of Finance and Economics

基　　金：湖南省社会科学基金项目(16JD11)

摘　　要：采用2012年1月至2016年4月的月度数据,利用向量自回归(VAR)模型研究在岸与离岸人民币汇率价差的影响因素,结果发现:汇率价差与人民币升贬值预期呈正相关关系,与利差及资金存量呈负相关关系。在岸与离岸人民币汇率价差自身的滞后一阶、在岸与离岸人民币利率之差是影响在岸与离岸人民币汇率价差的主要因素。除此以外,资金存量与人民币升贬值预期也会对汇率价差产生影响。因此,应进一步疏通境内和境外人民币流通渠道;货币当局应将调节利率水平作为管理汇率价差的备选政策工具;加强对跨境流动资本的监管;管理人民币汇率预期;在进一步深化国内利率和汇率市场化改革的基础之上,培育和发展离岸人民币市场,稳步推进人民币国际化。With monthly data from January 2012 to April 2016 as well as the vector auto-regression （VAR） model,this paper studies the influencing factors of exchange rate difference between onshore and offshore RMB.According to the results,there is a positive correlation between exchange rate difference and RMB appreciation and depreciation expectation, and negativ correla- tion between exchange rate difference and interest margin as well as capital stock.First, order lag of onshore and offshore RMB exchange rate difference, onshore and offshore RMB interest rate difference are major influencing factors of onshore and offshore RMB exchange rate difference.In addition, capital stock and RMB appreciation and depreciation expectation also influence exchange rate difference.Finally, this paper gives relevant policy suggestions： further dredging domestic and overseas RMB circulation channels; using regulation of interest rate level as alternative policy tool for managing exchange rate difference; intensifying regulation on cross-border current capital; managing RMB exchange rate expectation; cultivating and developing offshore RMB market on the basis of further deepening domestic interest rate and exchange rate market-oriented reform to steadily promote RMB internationalization.

关 键 词：人民币汇率价差 利差 资金存量 升贬值预期 VAR模型 

分 类 号：F831[经济管理—金融学] F832