人民币外汇市场间溢出效应研究--基于VAR和DCC-MVGARCH模型  

Research on the Spillover Effect of RMB Foreign Exchange Market--An Analysis Based on DCC-MVGARCH Model

作　　者：高杰英[1] 廉永辉[1] Gao Jieying;Lian Yonghui

机构地区：[1]首都经济贸易大学金融学院,北京100070

出　　处：《四川大学学报（哲学社会科学版）》2020年第3期138-147,共10页Journal of Sichuan University：Philosophy and Social Science Edition

基　　金：国家社会科学基金一般项目“金砖银行互利共赢合作模式及风险防范机制研究”(15BJL077)。

摘　　要：从离、在岸市场人民币汇率联动视角分析"8.11"汇改后人民币汇率的稳定性和市场化程度。研究在动态分析框架下,通过格兰杰因果检验、VAR模型和DCC-MVGARCH模型,对2012年5月至2018年12月CNY、NDF、CNH三个市场汇率联动关系进行实证分析,比较"8.11"汇改前后人民币离、在岸汇率联动的方向和程度。结果表明:(1)"8.11"汇改后人民币汇率弹性增加,更具灵活性;(2)人民币汇率定价权可能旁落,政策调节应发挥作用;(3)离岸市场发挥作用的前提是市场本身发展。由此提出:(1)离、在岸市场协同发展,进一步提高汇率弹性和灵活性;(2)密切关注离、在岸市场关系,保持政策定力与弹性;(3)完善离岸市场并发挥离岸市场作用。From the perspective of RMB exchange rate linkage in offshore and onshore markets,this paper analyses the stability and marketization of RMB exchange rate after the"8.11"Exchange Rate Reform.Using the framework of dynamic analysis,this paper makes an empirical analysis of the linkage of CNY,NDF and CNH from May 2012 to December 2018 through Granger causality test,VAR model and DCC-MVGARCH model,and compares the direction and degree of the linkage of RMB’s offshore and onshore exchange rates before and after the"8.11"Exchange Rate Reform.The results show that:(1)the exchange rate elasticity of RMB increases and the exchange rate becomes more flexible after the"8.11"exchange rate reform.(2)RMB exchange rate pricing power may be sidelined,and policy adjustment should be adopted.(3)The prerequisite for the offshore market to play its role is the development of itself.This paper suggests:(1)In order to coordinate the development of offshore and offshore markets,the government should further improve exchange rate elasticity and flexibility.(2)The government should pay close attention to the relationship between offshore and onshore markets and maintain the policy strength and flexibility.(3)The government should work to perfect the offshore market and give full play to the role of the offshore market.

关 键 词：“8.11”汇改 离岸市场 在岸市场 汇率联动 VAR和DCC-MVGARCH模型 

分 类 号：F832[经济管理—金融学]