基于“指令流”微观市场的人民币在岸离岸汇率价差研究  

The Research on the Onshore and Offshore RMB Exchange Rate Spread Based on “Order Flow” Micro-market

作　　者：张晓莉[1] 吴琼 ZHANG Xiaoli;WU Qiong

机构地区：[1]上海对外经贸大学国际经贸学院

出　　处：《国际商务研究》2019年第4期66-75,共10页International Business Research

基　　金：国家社会科学基金项目“人民币汇率市场化与维稳均衡研究”(项目编号:16BJL093)

摘　　要：外汇市场微观理论认为,指令流作为连接微观市场和宏观市场的桥梁,是外汇市场交易者获取内部信息的重要源泉,能够反映市场参与者对短期汇率的态度。选择2004年2月至2017年6月离岸人民币汇率价差、人民币汇率升贬值预期、指令流、香港人民币资金存量等月度数据,构建向量自回归模型研究宏观变量经由微观变量指令流对在岸与离岸人民币汇率价差的影响。结果显示:宏观变量会在短期内显著影响指令流,并经由指令流影响汇率价差,但汇率价差的变动受指令流的影响较小,受自身滞后二阶和人民币资金存量滞后二阶的影响最为显著。The foreign exchange market micro-theory regards order flow as a bridge that links the micro and macro market and also an important source for foreign exchange market traders to get internal information. It can reflect the attitude of market participants to the short-term exchange rate. This article selects monthly data from February 2004 to June 2017,including the onshore and offshore RMB exchange rate spread, the expected exchange rate depreciation of the RMB, order flow and the RMB deposit in Hong Kong,constructing vector autoregressive model to study how the macro variables via the order flow influence the rate spread. The result shows that macro variables will significantly influence the order flow in the short term and affect the exchange rate spread via the order flow.But the exchange rate spread is less affected by the order flow, and the second-order lag by itself and RMB deposit have the most significant effect.

关 键 词：汇率价差 指令流 微观市场 

分 类 号：F831.6[经济管理—金融学]