“8·11汇改”后人民币离岸在岸汇率和利率的联动性研究  

Research on the Correlation among RMB Exchange Rate and Interest Rate between Offshore and Onshore Market under the"8·11"Foreign Exchange Reform

作　　者：钟永红[1] 邓数红 Zhong Yonghong;Deng Shuhong

机构地区：[1]华南理工大学经济与金融学院 [2]中国银行广州分行

出　　处：《世界经济研究》2020年第12期65-76,M0003,共13页World Economy Studies

基　　金：国家社会科学基金一般项目“经济下行压力加大条件下防范债务风险研究”(批准号:19BJY254)的阶段性成果。

摘　　要：文章使用2012年4月30日至2019年1月11日人民币在岸和离岸市场汇率、利率的数据,构建静(动)态的波动溢出指数,分阶段研究境内外汇率、利率四者间的联动关系及其变化。波动溢出指数结果表明,随着人民币在岸即期汇率日间波动幅度扩大和2015年"8·11"汇改推进,在岸汇率市场对离岸汇率市场的溢出效应逐步削弱,离岸汇率市场对在岸汇率市场波动溢出的影响上升;但逆周期因子启用后,在岸市场汇率对离岸市场汇率的波动溢出效应上升,在岸市场汇率对人民币汇率定价的影响力又重新上升。由于两地金融市场的资金无法自由流动,离岸与在岸市场利率波动溢出的"信息传递作用有限",离岸市场人民币利率的"异常波动"主要受到离岸汇率波动的影响。This paper uses the exchange rate and interest rate data in RMB onshore and offshore markets from 30 th April 2012 to 11 th January 2019 and constructs static and dynamic volatility spillover index to explore their volatility spillover effects and the spillovers changes in separate stages.The volatility spillover index shows,due to the expansion of daily floating range of CNY-USD spot rate and the"8·11"exchange rate reform in 2015,the spillover effects from CNY to CNH market have been decreased and the spillovers effect from CNH to CNY market have been increased.While the countercyclical factor added to the CNY pricing mechanism,the volatility spillover effects from CNH market to CNY market have been decreased significantly,the impact of CNY in the pricing of RMB foreign exchange rate increased.As the capital can’t flow freely between mainland and Hong Kong’s financial markets,the onshore and offshore interest rate markets have limited information transmission,the abnormal fluctuation of CNH Hibor is affected from the fluctuation of CNH.

关 键 词：人民币离岸市场 人民币在岸市场 汇率 利率 联动关系 

分 类 号：F832.6[经济管理—金融学]