离岸与在岸人民币汇率:联动机制和溢出效应——基于VAR-GARCH-BEKK模型的分析  

Transmission mechanism and spillover effects between RMB’ sonshore and offshore market: Empirical analysis based on VAR-GARCH-BEKK model

作　　者：谭小芬[1] 张辉 杨楠[1] 金玥 TAN Xiao-fen;ZHANG Hui;YANG Nan;JIN Yue(School of Finance,Central University of Finance and Economics,Beijingl00081,China;Research Center of International Finance,Central University of Finance and Economics,Beijing 100081,China)

机构地区：[1]中央财经大学金融学院,北京100081 [2]中央财经大学国际金融研究中心,北京100081

出　　处：《管理科学学报》2019年第7期52-65,共14页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(71850005);教育部哲学社会科学研究重大课题攻关资助项目(14JZD016)

摘　　要：随着人民币国际化进程的推进,人民币离岸市场规模不断扩大,研究离岸与在岸市场汇率的联动机制与相互影响,对于探讨人民币定价权和人民币国际化进程中的风险管理具有重要意义.通过建立VAR-GARCH(1,1)-BEKK模型,在控制美元汇率、全球投资者恐慌情绪、宏观经济走势等变量后,分析了在岸与离岸人民币即期汇率、远期汇率之间的冲击传导效应、均值溢出效应和波动溢出效应,深入探讨了两个市场的联动性.结果表明:1)两个市场存在明显的均值溢出和波动溢出效应,在岸市场对离岸市场的冲击更大,而离岸市场的远期汇率引导着在岸远期汇率的形成;2)“8. 11汇改”后离岸市场对在岸市场的影响增强,两个市场的联动性更加明显;3)美元走势对在岸和离岸人民币汇率影响都非常显著,但即使控制美元走势后两个市场之间的汇率联动关系仍然存在.With the advance of RMB internationalization, the scale of RMB offshore market has been expanding. It is important to study the linkage mechanism and interaction between the offshore and onshore market exchange rates to explore the RMB pricing power and risk management in the RMB intemationalizationprocess. This paper employ the VAR-GARCH( 1 ,1 )-BEKK model to analyze the impact transmission effect between the onshore/offshore spot and forward RMB exchange rates, especially the mean spillover effect and volatility spillover effect. It finds that: 1) The mean spillover effects and volatility spillover effects in the two markets are significant,but the onshore market has a bigger impact on the offshore market, while the offshore market forward exchange rate leads the onshore forward exchange rate;2) The impact of the offshore market on the onshore market after the “8. 11 exchange rate reform” has increased, and the linkage between the two markets has become more significant;3 ) The impact of the US dollar on both onshore and offshore RMB exchange rates is very significant, but even after control the US dollar exchange rate, the exchange rate spillover effect between onshore and offshore RMB exchange markets still exists.

关 键 词：在岸市场 离岸市场 即期汇率 远期汇率 溢出效应 

分 类 号：F832.6[经济管理—金融学]