境内外人民币汇率市场互动关系研究

发布时间：2018-08-01 09:52

【摘要】：随着人民币国际化战略的逐步推进,人民币离岸市场发展迅速。尤其是香港人民币离岸市场,已经形成了一套相对市场化的利率和汇率机制,各种人民币利率和汇率相关产品的推出,在一定程度上影响着境内人民币市场的发展,人民币境内外汇率的互动也更加的紧密。自2011年下半年以来,香港人民币市场(CNH)与大陆人民币市场(CNY)之间的汇率差异逐渐缩小,特别是2013年以来,人民币衍生产品发展迅速,离岸人民币市场的发展逐步趋于成熟,在岸与离岸人民币市场的引导机制变得更加的复杂,因此,需进一步研究境内外市场的互动机制,明确市场未来的发展方向,论文采用定性与定量相结合的方法,对境内外人民币市场的汇率互动进行了分析。论文先从宏观层面分析了人民币的流出和回流机制,接着在微观层面上分析了在岸和离岸市场汇率的形成机制,并运用计量方法,对两个市场间的即远期汇率引导关系进行了因果检验,得出在即期市场,CNH和CNY两个市场存在相互引导关系,而在远期市场,CNY远期起着主导作用,这主要是由于在远期市场,预期会逐渐减弱,金融产品的定价权最终会回到境内市场,而即期市场受到预期的影响较大,预期使得境内市场受到境外冲击。最后,论文结合研究结论,为境内外人民币市场的协调发展给出了相应的建议,例如,进一步完善境内外市场的利率和汇率形成机制,增加离岸市场的人民币流动性,推进人民币回流机制和境外循环机制的建设,完善跨境人民币清算机制,加强各个离岸市场之间的合作等。
[Abstract]:With the development of RMB internationalization strategy, the offshore market of RMB is developing rapidly. In particular, the offshore renminbi market in Hong Kong has formed a set of relatively market-oriented interest rate and exchange rate mechanisms. The introduction of various RMB interest rates and exchange-related products has to a certain extent affected the development of the domestic RMB market. Domestic and foreign exchange rate interaction is also closer. Since the second half of 2011, the exchange rate difference between the Hong Kong RMB market (CNH) and the mainland RMB market (CNY) has gradually narrowed. Especially since 2013, RMB derivatives have developed rapidly, and the offshore renminbi market has gradually matured. The guiding mechanism of onshore and offshore RMB market has become more complicated. Therefore, it is necessary to further study the interaction mechanism of domestic and foreign markets and clarify the future development direction of the market. The exchange rate interaction between domestic and foreign RMB market is analyzed. This paper first analyzes the mechanism of RMB outflow and reflux from the macro level, then analyzes the formation mechanism of the exchange rate in the onshore and offshore markets at the micro level, and uses the measurement method. The causality test of the direct relationship between the two markets, namely forward exchange rate, shows that there is a mutual leading relationship between CNH and CNY in the spot market, while the forward market plays a leading role in the forward market, which is mainly due to the forward market. It is expected that the pricing power of financial products will eventually return to the domestic market, while the spot market will be greatly affected by the expected impact, which is expected to cause the domestic market to be hit overseas. Finally, combined with the conclusions of the study, the paper gives some suggestions for the coordinated development of the domestic and foreign RMB market, for example, to further improve the interest rate and exchange rate formation mechanism of the domestic and foreign market, and increase the liquidity of the offshore market. We will promote the construction of the RMB reflow mechanism and the offshore circulation mechanism, improve the cross-border RMB clearing mechanism, and strengthen cooperation among various offshore markets.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.6

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