香港离岸人民币市场的发展与人民币汇率错位的关系研究

发布时间：2018-05-25 22:55

本文选题：香港离岸人民币市场 + 人民币汇率风险　；参考：《山东大学》2014年硕士论文

【摘要】：改革开放三十多年以来,我国经济发展迅速,经济总量显著增长,已成为仅次于美国的全球第二大经济体；与世界经济的融合程度不断加深,货物贸易进出口总额已达世界第一。然而与此同时,中国的金融市场与发达国家相比仍然差距悬殊,与国际金融市场的联系也十分有限。在此情况下,大力发展离岸人民币市场,全面推进人民币的国际化进程,已成为进一步促进中国经济持续发展,实现资源优化配置所不可或缺的重要环节。本文详细论述了离岸金融市场形成与发展的现有理论和相关概念,并对香港离岸人民币市场的形成与发展进行了分析与整理。在对香港离岸人民币市场影响在岸人民币汇率的相关研究成果进行归纳之后,进一步对汇率风险与汇率错位的定义与测度方法进行了总结。理论基础方面,基于“三元悖论”,对香港离岸人民币汇率影响在岸人民币汇率的传导机制进行了推导,并分析了香港离岸人民币市场对人民币汇率风险及汇率错位的影响,同时对人民币汇率风险与汇率错位关系的相关研究进行了整理,在此基础上实现了香港离岸人民币市场与人民币汇率风险及汇率错位问题的有机结合。在实证部分,本文选取样本期为2005年人民币汇率改革到2013年年底的相关数据,分别对香港离岸人民币市场与人民币汇率风险及汇率错位的相关性进行了实证检验。在具体测算过程中,首先运用ARCH-t模型测度了人民币汇率的在险价值VaR,再使用向量自回归方法检验了香港离岸人民币市场与人民币汇率风险的相关性；在研究人民币汇率错位的相关章节,则采用了BEER模型来刻画人民币均衡汇率,并使用VECM分析了变量间的长期均衡关系,最后用ARCH-t模型建立起VAR系统,检验了人民币汇率风险与人民币汇率错位的相关性。实证结果表明,港币兑人民币汇率风险及港币兑人民币汇率变动率两个变量的一期滞后值,都对港币兑人民币汇率风险的当期值有着显著影响；香港离岸人民币存款增长率和港币兑人民币汇率变动率的一期滞后值,对这两个变量的当期值都有着显著影响。香港离岸人民币汇率风险与美元兑人民币12个月NDF的风险之间存在着长期稳定的相互影响关系,且相互的影响均为正向的；美元兑人民币12个月NDF的风险与人民币汇率错位存在着相关关系,NDF的风险对人民币汇率错位有着正向的影响。在此基础上,香港离岸人民币市场可以通过作用于人民币汇率风险,间接影响人民币汇率错位的产生。因此,香港离岸人民币市场的健康发展,对于保障我国外币资产的安全性,缓解人民币汇率错位、令汇率趋向均衡,以及促进中国内部均衡与外部均衡状态的达成,都有着重要的意义。我国应该继续大力发展香港离岸人民币市场,推进人民币的国际化进程。
[Abstract]:After more than 30 years of reform and opening up, China's economy has developed rapidly and its total economic volume has increased significantly. It has become the second largest economy in the world after the United States, and its integration with the world economy is deepening. The total volume of imports and exports of goods has reached the first in the world. At the same time, China's financial market is still far from developed countries, and its connection with international financial markets is very limited. In this case, vigorously developing the offshore RMB market and comprehensively promoting the internationalization of the RMB has become an indispensable and important link to further promote the sustainable development of China's economy and realize the optimal allocation of resources. This paper discusses in detail the existing theories and related concepts of the formation and development of offshore financial market, and analyzes and arranges the formation and development of offshore RMB market in Hong Kong. After summarizing the relevant research results of the offshore RMB market influence onshore RMB exchange rate in Hong Kong, the definition and measurement method of exchange rate risk and exchange rate dislocation are summarized. On the theoretical basis, based on the "ternary paradox", this paper deduces the transmission mechanism of the offshore RMB exchange rate in Hong Kong, and analyzes the influence of the offshore RMB market in Hong Kong on the RMB exchange rate risk and exchange rate misalignment. At the same time, the related research on the relationship between RMB exchange rate risk and exchange rate dislocation is analyzed, and the organic combination of the offshore RMB market in Hong Kong with RMB exchange rate risk and exchange rate dislocation is realized on this basis. In the empirical part, this paper selects the relevant data from the RMB exchange rate reform in 2005 to the end of 2013, and makes an empirical test on the correlation between the offshore RMB market in Hong Kong and the RMB exchange rate risk and exchange rate misalignment. In the specific calculation process, we first use ARCH-t model to measure the risk value of RMB exchange rate, and then use vector autoregressive method to test the correlation between offshore RMB market and RMB exchange rate risk in Hong Kong. In the relevant chapters of RMB exchange rate dislocation, BEER model is used to describe the RMB equilibrium exchange rate, and VECM is used to analyze the long-term equilibrium relationship between variables. Finally, the VAR system is established by using ARCH-t model. This paper examines the correlation between RMB exchange rate risk and RMB exchange rate misalignment. The empirical results show that the one-stage lag value of the two variables, Hong Kong dollar / RMB exchange rate risk and Hong Kong dollar / RMB exchange rate change rate, has a significant impact on the current value of Hong Kong dollar / RMB exchange rate risk. The growth rate of offshore renminbi deposits in Hong Kong and the lag in the rate of change of the Hong Kong dollar against the renminbi have a significant impact on the current value of both variables. There is a long-term and stable relationship between the exchange rate risk of offshore RMB in Hong Kong and the risk of USD / RMB in 12 months NDF, and the mutual influence is positive. There is a correlation between the risk of NDF and the misalignment of the RMB exchange rate. The risk of NDF has a positive effect on the misalignment of RMB exchange rate. On this basis, the offshore RMB market in Hong Kong can indirectly influence the occurrence of RMB exchange rate dislocation by acting on RMB exchange rate risk. Therefore, the healthy development of the offshore renminbi market in Hong Kong will ensure the safety of our foreign currency assets, ease the misalignment of the RMB exchange rate, make the exchange rate tend to be balanced, and promote the achievement of internal and external equilibrium in China. Are of great significance. China should continue to develop the offshore RMB market in Hong Kong and promote the internationalization of RMB.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.6

【参考文献】