离岸人民币汇率定价权初探——基于在岸与离岸汇率联动关系研究  

Exploring the Pricing Right of RMB Offshore Exchange Rate——Based on the Links between Onshore and Offshore Exchange Rate

作　　者：石建勋[1] 孙亮[1] 

机构地区：[1]同济大学经济与管理学院,上海200092

出　　处：《国际商务（对外经济贸易大学学报）》2018年第1期124-135,共12页INTERNATIONAL BUSINESS

基　　金：国家社会科学基金规划项目"国际货币体系改革及人民币的国际地位与作用研究"(10BGJ019)

摘　　要：自"811"汇改以来,在岸与离岸市场的人民币汇率价差不断扩大,甚至演变成愈演愈烈的人民币汇率争夺战,这背后折射的是人民币汇率定价权之争。基于此,本文通过VECM模型和STAR模型,研究在岸市场CNY汇率与离岸市场CNH汇率和NDF汇率之间的长期均衡关系与门限效应,并在此基础上探讨了人民币汇率由哪个市场主导的问题。实证发现:一是在岸与离岸市场的人民币汇率波动均存在显著的非线性门限特征,当人民币升贬值超过门限值时,其升贬值的冲击显示出更持久的预期性和延续性;二是"811"汇改后,在岸CNY市场已经失去了人民币汇率定价中心的地位,离岸CNH和NDF汇率的影响力增强。在人民币汇率定价权的争夺战过程中,央行应该传递清晰信号,合理引导人民币汇率预期,加强在岸与离岸市场联系,充分发挥市场的自我调节能力,继续深化完善人民币汇率市场化改革才是长远之计。Since the ＂8.11＂ reform of RMB exchange rate, the spread between the onshore and offshore RMB exchange rate has become larger and larger, and even worse to develop into the contest of RMB exchange rate, indicating the fight to control the RMB exchange rate pricing power. Therefore, in this paper we apply VECM and STAR model to study the long-term dynamic relationship between the CNY, CNH and NDF and the threshold effect of their fluctuation, and then analyze which market is leading the RMB exchange rate on this basis. The evidence shows that there is an outstanding nonlinear threshold characteristic in the RMB exchange rate fluctuation of onshore and offshore market.The impact of RMB appreciation or depreciation indicates more lasting expectation and continuity when the RMB appreciation or depreciation passes over the threshold value. What is more, the onshore CNY market has lost the position of RMB exchange rate pricing center since the ＂8.11＂ reform of RMB exchange rate and the influence of offshore CNH and NDF exchange rate is growing. In the contest of RMB exchange rate pricing power, the central bank should transmit clear signals, guide the RMB exchange rate expectations rationally, strengthen the relation between the onshore and offshore markets, exert the self-regulation ability of the market fully, and continue to deepen the market-oriented reform of RMB exchange rate in the long run.

关 键 词：人民币汇率 相关性 VECM模型 STAR模型 

分 类 号：F821.6[经济管理—财政学]