国际金融市场与人民币在岸离岸汇率间的极端风险传染  

The Extreme Risk Contagion Between the International Financial Market and RMB Onshore and Offshore Exchange Rate

作　　者：刘凌[1] LIU Ling

机构地区：[1]上海对外经贸大学,上海201620

出　　处：《经济问题探索》2024年第1期67-75,共9页Inquiry Into Economic Issues

基　　金：国家社会科学基金一般项目“推进金融领域制度型开放的目标、机理和路径选择”(23BJY264),项目负责人:刘凌。

摘　　要：在西方各国财政货币政策多变和中国高水平开放背景下,国际金融市场极端风险频发,人民币汇率作为国内国际双循环互促中的关键变量,极易受这些极端风险影响。采用GARCH-Copula-CoVaR模型分析了国际金融市场与人民币在岸离岸汇率间极端风险双向传染的强度、非线性特征和动态变化。研究发现,相较于对人民币在岸汇率,国际金融市场极端风险对人民币离岸汇率的传染更强;人民币在岸汇率极端风险比离岸汇率极端风险对国际金融市场的传染要弱,且强度变化小;VIX指数的极端风险对在岸离岸汇率的传染最强,VIX指数大于30时应提高警惕;当前离岸和在岸人民币市场管理与跨国资本流动管理措施对维护我国金融安全和稳定有一定效果。本研究对如何防范国际金融市场与人民币汇率极端风险双向传染的负面冲击,维护我国经济金融安全稳定具有重要价值。Under the background of the changeable fiscal and monetary policies of western countries and China's high-level opening-up,extreme risks occur frequently in the international financial market.As a key variable of the mutual promotion of the dual circulation,RMB exchange rate is easily affected by these extreme risks.In this paper,GARCH-Copula-CoVaR model is used to analyze the intensity,non-linear characteristics,and dynamic changes of extreme risk two-way contagion between international finan-cial market and RMB onshore and offshore exchange rate,as well as the transformation of contagion char-acteristics before and after the reform of RMB exchange rate formation mechanism.It is found that the con-tagion of extreme risks in international financial market to RMB offshore exchange rate is stronger than that of onshore exchange rate,and the outgoing contagion of extreme risks of RMB onshore exchange rate is weaker and the change is smaller.Compared with the offshore exchange rate,the extreme risk of RMB on the international financial market is weaker,and the intensity change is small.The extreme risk of the VIX has the strongest contagion on the onshore and offshore exchange rate,and should be vigilant when the VIX is above 30.This implies that the management of China's offshore and onshore RMB markets and the ongoing cross-border capital flow management measures are effective in maintaining China's financial secu-rity and stability.Therefore,this paper has important value on how to prevent the negative impact of two-way transmission of extreme risks in international financial market and RMB exchange rate,and maintain the security and stability of China's economy and finance.

关 键 词：国际金融市场 人民币在岸离岸汇率 极端风险 GARCH-Copula-CoVaR模型 

分 类 号：F831.5[经济管理—金融学]