人民币汇率变动的频率结构与溢出效应研究:基于MDVAR模型  

Composition of RMB Exchange Rate Movements and Spillover Effects:A Study Based on MDVAR Model

作　　者：陈统铭 陈平[1] 陈雷 Chen Tongming;Chen Ping;Chen Lei

机构地区：[1]中山大学岭南学院 [2]广东金融学院金融与投资学院

出　　处：《世界经济研究》2022年第10期87-101,M0003,M0004,共17页World Economy Studies

基　　金：国家社会科学基金“新时代海洋强国建设”(项目编号:19VHQ004)重大专项项目;国家自然科学基金青年项目“全球金融周期背景下的跨境风险传染——基于汇率和跨境资本流动的渠道分析”(项目编号:71903202);教育部人文社会科学研究青年基金项目“三元悖论还是二元悖论——汇率制度选择的再探讨研究”(项目编号:19YJC790009);国家博士后面上基金“固体物理学视角下的证券价格行为研究”(项目编号:2019M663330);中山大学“三大”建设专项资金(项目编号:99123-18823306)的资助。

摘　　要：考虑人民币汇率变动的频率结构可以更全面地认识在岸与离岸人民币汇率的联动与溢出关系。文章提出把人民币汇率的波动划分为由宏观基本面变化驱动的低频波动与由市场因素驱动的高频波动,融合模态分解与向量自回归建立MDVAR模型并构造溢出指数,分析在不同波动频率下的在岸与离岸人民币汇率的溢出效应。文章主要结论为:在岸与离岸人民币汇率存在价格变动的频率结构与双向溢出效应,包含低频波动的溢出与高频波动的溢出两种模式;“811汇改”调整了人民币汇率变动的频率结构,也改变了市场间溢出的主要模式,从以高频波动的溢出为主变成以低频波动的溢出为主,反映价格信息传导及市场参与者的预期形成方式均发生了变化;“811汇改”前在岸市场引导价格的低频波动,离岸市场引导价格的高频波动,“811汇改”后离岸市场主导价格的高频与低频波动,这说明在更富弹性的汇率制度安排下人民币定价权的重心在一定程度上发生了偏移。Considering the composition of RMB exchange rate movements provides a more comprehensive understanding of spillover effects of onshore and offshore RMB exchange rate. In this paper, it was proposed that the RMB exchange rate fluctuations can be divided into low-frequency fluctuations caused by the change of the macro fundamentals and high-frequency fluctuations resulted from the market factors. Moreover, the spillover index was produced by the mode decomposition based vector autoregressive model (MDVAR), for analyzing spillover effects of onshore and offshore RMB exchange rate in different fluctuant frequencies. The main findings were as follows: first, in onshore and offshore RMB exchange rate, there are composition of RMB exchange rate movements and two-way spillover effects in modes of low-frequency and high-frequency spillover. Second, the composition of RMB exchange rate movements and spillover effects of the two markets were changed by the "811 Exchange Rate Reform", from mode of high-frequency to that of low-frequency, which reflected the changes in price signal transduction and expectations of market participants. Third, the RMB low-frequency fluctuations were guided by onshore market while the RMB high-frequency fluctuations were guided by offshore market before "811 Exchange Rate Reform" and the RMB low-frequency and high-frequency fluctuations were both led by offshore market after "811 Exchange Rate Reform", which reflected the changes in RMB pricing power attribution to some extent.

关 键 词：在岸人民币汇率 离岸人民币汇率 溢出效应 汇改 

分 类 号：F832.6[经济管理—金融学]