境内外人民币汇率均衡与联动效应研究  

Research on Onshore and Offshore RMB Exchange Rates' Equilibrium and Linkage

作　　者：厉华威 Li Huawei(Nanjing Branch,People＇s Bank of China,Nanjing 210004,China)

机构地区：[1]中国人民银行南京分行,江苏南京210004

出　　处：《金融理论探索》2018年第5期51-59,共9页Exploration of Financial Theory

摘　　要：由于人民币离岸市场的发展,境内外存在多种人民币汇率。运用2012—2017年每日汇率数据建立误差修正模型,分析发现:长期来看,人民币在岸即期汇率、离岸即期汇率和离岸无本金交割远期汇率之间均存在均衡关系。中国人民银行8.11汇率改革之前,试图长期以中间价干预预期形成,导致汇率均衡机制失效。中间价形成机制更多参考市场价后,汇率均衡机制得以发挥作用。当受到外部冲击后,在岸汇率、离岸汇率和汇率预期都能主动调整,重建汇率体系的均衡。Due to the development of offshore RMB market, there are more than one RMB exchange rates. The paper used dally exchange rate from 2012-2017 to set up error correction model and found out, in the long run, there exists equilibrium among onshore RMB spot exchange rate, offshore RMB spot exchange rate and offshore non-principal delivery forward exchange rate. Before August 11th exchange rate reform, People＇s Bank of China intended to use reference rate to lead expect, which destroyed the equilibrium relationship among exchange rates. After the reform, the reference rate more related to RMB market price, which formed the exchange rates equilibrium relationship. When there was exogenous shock, onshore and offshore exchange rate, exchange rate expectation could make active adjustment so as to rebuild equilibrium in exchange rate system.

关 键 词：在岸人民币汇率 离岸人民币汇率 汇率均衡效应 联动效应 

分 类 号：F822.1[经济管理—财政学]