两岸三地汇率互动关系研究

发布时间：2018-06-10 18:17

本文选题：两岸三地 + 人民币汇改　；参考：《西南交通大学》2015年硕士论文

【摘要】：随着中国成为世界第二大经济体,人民币国际化便成了一个必然而循序渐进的过程,从2005年人民币汇改以来人民币国际化的脚步也渐渐加快,2010年在香港开启离岸人民币业务,香港离岸人民币汇率远期的定价也影响着大陆人民币汇率的即期价格。台湾地区与大陆酝酿已久的货币清算制度在2012年8月应运而生,这些举措的实施让两岸三地的业务往来更加通畅和频繁。在这样的背景下,本文通过建立VAR模型,并采用相应的格兰杰因果分析,脉冲响应函数和方差分解对汇改前后十年以及最近两年人民币汇率波动、港币汇率波动和新台币汇率波动三者之间的关系进行深入的研究。本文实证分三部分,第一部分研究汇改前后两岸三地汇率互动关系的变化,第二部分研究最近两年人民币、港币和新台币汇率之间的互动关系,第三部分是港台地区货币与美元比价汇率的波动同步性和与人民币比价汇率的波动同步性对比。第一部分的实证结果表明,汇改加强了大陆和香港、台湾汇率市场收益的联动性。汇改前后人民币汇率和港币、新台币汇率波动之间的互动关系存在较大的差异,汇改让人民币汇率对港币汇率的引导关系显著性从4.96%提升到了78.52%,人民币汇率对新台币汇率的引导显著性从74.53%提升到77.95%；港币汇率对人民币汇率的引导显著性从28.99%提升到92.85%,新台币汇率对人民币汇率波动引导显著性从7.28%提升至59.17%。第二部分实证选择大陆与台湾形成货币清算制度之后的日度数据进行研究,港币汇率显著引导人民币汇率波动,人民币汇率对港币汇率波动的引导不显著；港币汇率波动和新台币汇率波动互相引导显著,人民币贬值有68.79%的可能性引导港币贬值、79.23%的可能性引导新台币先贬值后升值。港币汇率对人民币汇率波动的影响要大于新台币汇率,新台币汇率对港币汇率波动的影响要大于人民币汇率,人民币汇率对新台币汇率波动的影响要大于港币汇率。整个系统内人民币汇率波动的独立性最强,受港台的影响不大。另外,与港台货币人民币比价汇率的波动同步性高于与美元比价的汇率,人民币业务在港台开展成效显著,加强了两个汇率市场的收益联动关系。
[Abstract]:With China becoming the second largest economy in the world, RMB internationalization has become an inevitable and gradual process. Since the RMB exchange rate reform in 2005, the pace of RMB internationalization has gradually accelerated. In 2010, it opened offshore renminbi business in Hong Kong. The forward pricing of the offshore yuan in Hong Kong also affects spot prices on the mainland. The long-simmering currency clearing system between Taiwan and China emerged in August 2012, making business between the three places easier and more frequent. In this context, by establishing the VAR model and using the corresponding Granger causality analysis, the impulse response function and variance decomposition are used to analyze the RMB exchange rate fluctuations before and after the exchange rate reform in the past ten years and in the last two years. The relationship between Hong Kong dollar exchange rate fluctuation and Taiwan dollar exchange rate fluctuation is studied in depth. This paper is divided into three parts. The first part studies the changes of the exchange rate interaction between the two sides before and after the exchange rate reform. The second part studies the interaction between the RMB, Hong Kong dollar and Taiwan dollar exchange rate in the last two years. The third part is the comparison of the fluctuation synchronism between currency and dollar exchange rate in Hong Kong and Taiwan and the fluctuation synchronism with RMB exchange rate. The empirical results of the first part show that the exchange rate reform strengthens the linkage of the exchange rate market returns between the mainland and Hong Kong and Taiwan. Before and after the exchange rate reform, there are great differences in the interaction between the RMB exchange rate and the fluctuations of the exchange rate of Hong Kong dollar and the New Taiwan dollar. The exchange rate reform raised the guiding relationship between the RMB exchange rate and the Hong Kong dollar exchange rate from 4.96% to 78.52%, the guidance significance of the RMB exchange rate to the NT dollar exchange rate increased from 74.53% to 77.95%, and the guidance significance of the Hong Kong dollar exchange rate to the RMB exchange rate rose from 28.99% to 77.95%. Up to 92.85, the Taiwan dollar exchange rate to the RMB exchange rate fluctuations significantly increased from 7.28 percent to 59.17. The second part empirically chooses the daily data after the mainland and Taiwan formed the currency settlement system to carry on the research, the Hong Kong dollar exchange rate obviously induces the RMB exchange rate fluctuation, the RMB exchange rate guidance to the Hong Kong dollar exchange rate fluctuation is not remarkable; The fluctuation of the exchange rate of Hong Kong dollar and the exchange rate of the New Taiwan dollar lead each other significantly. The probability of RMB depreciation is 68.79%, and the probability of the depreciation of the Hong Kong dollar is 79.23%, which leads to the depreciation of the New Taiwan dollar first and then to the appreciation. The impact of the exchange rate of the Hong Kong dollar on the fluctuation of the exchange rate of the RMB is greater than that of the exchange rate of the NT dollar, and the impact of the exchange rate of the NT dollar on the fluctuation of the exchange rate of the Hong Kong dollar is greater than that of the RMB exchange rate. The independence of RMB exchange rate fluctuation is the strongest in the whole system, not influenced by RTHK. In addition, the fluctuation of RMB exchange rate with Hong Kong and Taiwan currencies is more synchronous than that with US dollar exchange rate. RMB business has achieved remarkable results in Hong Kong and Taiwan, and strengthened the relationship between the two exchange rate markets.
【学位授予单位】：西南交通大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.6

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