离岸与在岸人民币汇率联动效应研究

发布时间：2018-05-21 01:27

  本文选题：离岸人民币 + 在岸人民币　； 参考：《商业研究》2014年10期

【摘要】：随着香港离岸人民币汇率市场的发展,离岸人民币汇率价格体系不断地完善。本文运用Granger因果检验和BEKK-GARCH(1,1)模型,研究了在岸和离岸人民币汇率之间的价格溢出效应和波动溢出效应,结果显示:在岸人民币即期和远期汇率对离岸汇率能够产生较为显著的价格溢出效应和波动溢出效应;NDF汇率对在岸即期和远期汇率有显著地价格溢出效应和波动溢出效应;离岸即期汇率对在岸远期汇率有显著地价格溢出效应,但波动溢出效应较弱;离岸即期汇率对在岸即期汇率未产生价格溢出效应,但波动溢出效应显著。
[Abstract]:With the development of the offshore RMB exchange rate market in Hong Kong, the offshore RMB exchange rate price system has been continuously improved. Using the Granger causality test and BEKK-GARCH1) model, this paper studies the price spillover effect and volatility spillover effect between onshore and offshore RMB exchange rates. The results show that onshore RMB spot and forward exchange rates have significant price spillover effect and volatility spillover effect on offshore exchange rate. NDF exchange rate has significant price spillover effect and volatility spillover effect on onshore spot and forward exchange rate. Offshore spot exchange rate has significant price spillover effect on onshore forward exchange rate, but volatility spillover effect is weak, while offshore spot exchange rate has no price spillover effect on onshore spot exchange rate, but volatility spillover effect is significant.
【作者单位】： 吉林大学经济学院;中国人民大学经济学院;
【基金】：吉林大学哲学社会科学创新团队项目,项目编号:2012FRTD02 教育部人文社会科学青年基金项目,项目编号:12YJCGJW005 中国博士后科学基金面上资助项目,项目编号:2013M541271 吉林大学基本科研业务费项目,项目编号:2012BS047
【分类号】：F224;F832.6
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本文编号：1917128