人民币即远期汇率的溢出效应及价格发现贡献度研究
发布时间：2018-08-02 18:09
【摘要】：自2010年8月香港人民币可交割远期市场成立以来,人民币外汇市场格局发生了重大变化。为了厘清境内人民币即期汇率与远期汇率、境外人民币无本金交割远期汇率以及香港人民币可交割远期汇率四者之间的关系,本文首先采用wild bootstrap方差比检验方法对人民币外汇市场的有效性进行检验。检验结果表明,香港人民币可交割远期市场成立之后,人民币外汇市场仍未达到弱式有效。为了在非有效的市场环境下量化人民币即期汇率与远期汇率的相互关系以及价格发现能力,本文依次对人民币即期汇率与远期汇率的价格溢出效应、波动溢出效应与动态相关关系以及价格发现贡献度进行实证研究。 由于2010年8月以来人民币外汇市场始终处于不断发展变化之中,为了捕捉即期汇率与远期汇率之间可能存在的机制转换,本文首先以2011年9月20日(2011年9月下旬人民币外汇市场突现剧烈动荡,远期汇率由升水转为贴水)作为结构突变参考点将研究区间划分为两个阶段,然后分别建立门限向量自回归模型(TVAR)对人民币即远期汇率间可能存在的机制转换进行分析。研究表明,前后两阶段即期汇率与远期汇率间均呈现两机制的非线性关系,而且机制1与机制2占整个样本区间的比例相差悬殊,因此,本文后续选择对主要机制进行分析,此举既提高了分析的精度又过滤了次要信息。 外汇市场间价格溢出效应的研究采用Granger因果关系检验、向量误差修正模型、脉冲响应函数等方法从一阶矩的角度分析了人民币即远期汇率之间的相互引导关系。研究结果表明,第一阶段境外人民币无本金交割远期市场的价格溢出效应优势明显,而第二阶段境外人民币无本金交割远期市场的价格溢出效应优势逐渐被香港人民币可交割远期市场以及境内人民币外汇市场所挤占。外汇市场间波动溢出效应与动态相关关系的研究采用扩展的广义DCC-GARCH模型(Dynamic Conditional Correlation GARCH Model,即动态条件相关GARCH模型),从二阶矩的角度研究人民币即期汇率与远期汇率之间的相互引导关系。波动溢出效应实证结果表明：前后两阶段香港人民币可交割远期外汇市场的波动均比较剧烈,而第二阶段人民币无本金交割远期市场的波动剧烈程度较第一阶段有所降低；与第一阶段比较,第二阶段境内外汇市场的波动溢出效应有所提高。动态相关关系实证结果表明：第一阶段香港人民币可交割远期市场与境内人民币外汇市场的相关性不断提高；第二阶段人民币无本金交割远期市场与境内人民币外汇市场的相关性降低。由于双向溢出效应的存在,仅依赖溢出效应分析无法准确量化外汇市场价格发现能力的强弱。为了量化各外汇市场的价格发现能力,本文进一步采用修正的信息份额模型(MIS模型)对各外汇市场的价格发现贡献度进行测度。分析结果表明,第一阶段人民币无本金交割远期市场的价格发现贡献度最高；第二阶段香港人民币可交割远期市场的信息份额较第一阶段明显提高,且价格发现贡献度居首位。上述研究结论表明,自2010年9月以来,香港人民币可交割远期市场的价格引导能力与价格发现能力显著提高,但其价格发现贡献度的领先优势并不明显,而且市场波动比较剧烈。因此,香港人民币可交割远期市场能否真正起到即期汇率风向标的作用,仍需要继续观察。境内人民币远期市场的价格引导能力与价格发现贡献度逐渐增强,表明我国汇率形成机制市场化改革取得了一定的成果。但目前境内外汇率市场的信息传导路径仍不顺畅,政府仍需继续推进外汇制度市场化改革。 总之,在人民币外汇市场尚未形成长期稳定格局的情况下,我国政府应充分利用人民币国际化的契机,加大力度培育人民币境内外汇市场和香港人民币可交割远期市场,逐步放松对国内投资者进入境外人民币无本金交割远期市场的管制,循序渐进建设外汇市场之间的联通渠道,提高风险监管水平,充分释放远期市场价格发现作用。
[Abstract]:Since the establishment of the Hongkong RMB deliverable forward market in August 2010, the pattern of RMB exchange market has changed greatly. In order to clarify the relationship between RMB spot exchange rate and forward exchange rate, foreign RMB non principal delivery forward rate and the relationship between the four of Hongkong RMB exchange rate forward rate, this paper first uses wild boo The validity of the RMB foreign exchange market is tested by the Tstrap variance ratio test. The test results show that the RMB foreign exchange market has not reached the weak efficiency after the establishment of the Hongkong RMB deliverable forward market. In order to quantify the relationship between the RMB spot rate and the forward exchange rate in the non effective market environment and the price hair. At present, this paper makes an empirical study on the price spillover effect of RMB spot exchange rate and forward exchange rate, volatility spillover effect and dynamic correlation and price discovery contribution.
Since the RMB exchange market has been constantly changing since August 2010, in order to capture the possible mechanism transformation between the immediate exchange rate and the forward exchange rate, this paper first takes September 20, 2011 (the RMB foreign exchange market in late September 2011) as a structural catastrophe. The research section divides the research area into two stages, and then establishes the threshold vector autoregressive model (TVAR) to analyze the possible mechanism transformation between RMB and forward exchange rate respectively. The study shows that both the front and back two stages of the forward and forward exchange rates have the non linear relationship between the two mechanism and the mechanism 1 and the mechanism 2 account for the whole sample. Because of the disparity of the proportions of the intervals, the main mechanism is analyzed in this paper, which not only improves the accuracy of the analysis but also filters the secondary information.
The study of price spillovers among the foreign exchange market uses the Granger causality test, the vector error correction model and the impulse response function to analyze the mutual guidance relationship between the RMB and the forward exchange rate from the point of view of the first moment. The results show that the price spillover effect of the first stage of the foreign people's money free money delivery in the forward market is the first stage. The advantages of the second phase of the second phase of the overseas RMB non principal delivery forward market are gradually occupied by the Hongkong RMB deliverable forward market and the domestic RMB foreign exchange market. The study of the volatility spillover effect and the dynamic correlation between the foreign exchange market adopts the extended generalized DCC-GARCH model (Dynamic Con). Ditional Correlation GARCH Model, which is the dynamic conditional correlation GARCH model), studies the mutual guidance relationship between RMB immediate exchange rate and forward exchange rate from the angle of two order moment. The empirical results of volatility spillover effect show that the volatility of the forward foreign exchange market of Hongkong RMB can be delivered in the front and back two stages, while the second stage people are more volatile. Compared with the first stage, the volatility spillover effect of the second stage domestic foreign exchange market has been improved. The empirical results of the dynamic correlation show that the first phase of the Hongkong RMB deliverable forward market and the domestic RMB foreign exchange market correlation. In the second stage, the correlation between the RMB non principal delivery forward market and the RMB foreign exchange market is reduced. Due to the existence of the two-way spillover effect, only the spillover effect analysis can not accurately quantify the strength of the price discovery ability of the foreign exchange market. The revised information share model (MIS model) is used to measure the price discovery contribution of each foreign exchange market. The analysis results show that the first stage of the RMB unpaid forward market has the highest contribution to the price discovery; the second phase of Hongkong's RMB exchange forward market information share is significantly higher than the first stage, and the price is issued. The above results show that the price guidance ability and price discovery ability of Hongkong RMB deliverable forward market have increased significantly since September 2010, but the leading advantage of its price discovery contribution is not obvious, and the market volatility is more intense. Therefore, whether the RMB can deliver the forward market in Hongkong is true. It is still necessary to continue to observe the role of the spot exchange rate vane. The price guidance capacity of the RMB forward market and the contribution of the price discovery are gradually enhanced, which indicates that the market-oriented reform of the exchange rate formation mechanism in China has achieved certain results. However, the information transmission path of the exchange rate market at home and abroad is still not smooth and the government still needs to continue. We should promote the market-oriented reform of the foreign exchange system.
In a word, when the RMB foreign exchange market has not yet formed a long-term stable pattern, our government should make full use of the opportunity of RMB internationalization, strengthen the efforts to cultivate the RMB domestic foreign exchange market and the Hongkong RMB deliverable forward market, and gradually relax the management of the domestic investors into the foreign RMB non principal delivery forward market. We should gradually build channels for linking foreign exchange markets, improve the level of risk supervision and fully release the role of forward market price discovery.
【学位授予单位】：华中科技大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F832.6
[Abstract]:Since the establishment of the Hongkong RMB deliverable forward market in August 2010, the pattern of RMB exchange market has changed greatly. In order to clarify the relationship between RMB spot exchange rate and forward exchange rate, foreign RMB non principal delivery forward rate and the relationship between the four of Hongkong RMB exchange rate forward rate, this paper first uses wild boo The validity of the RMB foreign exchange market is tested by the Tstrap variance ratio test. The test results show that the RMB foreign exchange market has not reached the weak efficiency after the establishment of the Hongkong RMB deliverable forward market. In order to quantify the relationship between the RMB spot rate and the forward exchange rate in the non effective market environment and the price hair. At present, this paper makes an empirical study on the price spillover effect of RMB spot exchange rate and forward exchange rate, volatility spillover effect and dynamic correlation and price discovery contribution.
Since the RMB exchange market has been constantly changing since August 2010, in order to capture the possible mechanism transformation between the immediate exchange rate and the forward exchange rate, this paper first takes September 20, 2011 (the RMB foreign exchange market in late September 2011) as a structural catastrophe. The research section divides the research area into two stages, and then establishes the threshold vector autoregressive model (TVAR) to analyze the possible mechanism transformation between RMB and forward exchange rate respectively. The study shows that both the front and back two stages of the forward and forward exchange rates have the non linear relationship between the two mechanism and the mechanism 1 and the mechanism 2 account for the whole sample. Because of the disparity of the proportions of the intervals, the main mechanism is analyzed in this paper, which not only improves the accuracy of the analysis but also filters the secondary information.
The study of price spillovers among the foreign exchange market uses the Granger causality test, the vector error correction model and the impulse response function to analyze the mutual guidance relationship between the RMB and the forward exchange rate from the point of view of the first moment. The results show that the price spillover effect of the first stage of the foreign people's money free money delivery in the forward market is the first stage. The advantages of the second phase of the second phase of the overseas RMB non principal delivery forward market are gradually occupied by the Hongkong RMB deliverable forward market and the domestic RMB foreign exchange market. The study of the volatility spillover effect and the dynamic correlation between the foreign exchange market adopts the extended generalized DCC-GARCH model (Dynamic Con). Ditional Correlation GARCH Model, which is the dynamic conditional correlation GARCH model), studies the mutual guidance relationship between RMB immediate exchange rate and forward exchange rate from the angle of two order moment. The empirical results of volatility spillover effect show that the volatility of the forward foreign exchange market of Hongkong RMB can be delivered in the front and back two stages, while the second stage people are more volatile. Compared with the first stage, the volatility spillover effect of the second stage domestic foreign exchange market has been improved. The empirical results of the dynamic correlation show that the first phase of the Hongkong RMB deliverable forward market and the domestic RMB foreign exchange market correlation. In the second stage, the correlation between the RMB non principal delivery forward market and the RMB foreign exchange market is reduced. Due to the existence of the two-way spillover effect, only the spillover effect analysis can not accurately quantify the strength of the price discovery ability of the foreign exchange market. The revised information share model (MIS model) is used to measure the price discovery contribution of each foreign exchange market. The analysis results show that the first stage of the RMB unpaid forward market has the highest contribution to the price discovery; the second phase of Hongkong's RMB exchange forward market information share is significantly higher than the first stage, and the price is issued. The above results show that the price guidance ability and price discovery ability of Hongkong RMB deliverable forward market have increased significantly since September 2010, but the leading advantage of its price discovery contribution is not obvious, and the market volatility is more intense. Therefore, whether the RMB can deliver the forward market in Hongkong is true. It is still necessary to continue to observe the role of the spot exchange rate vane. The price guidance capacity of the RMB forward market and the contribution of the price discovery are gradually enhanced, which indicates that the market-oriented reform of the exchange rate formation mechanism in China has achieved certain results. However, the information transmission path of the exchange rate market at home and abroad is still not smooth and the government still needs to continue. We should promote the market-oriented reform of the foreign exchange system.
In a word, when the RMB foreign exchange market has not yet formed a long-term stable pattern, our government should make full use of the opportunity of RMB internationalization, strengthen the efforts to cultivate the RMB domestic foreign exchange market and the Hongkong RMB deliverable forward market, and gradually relax the management of the domestic investors into the foreign RMB non principal delivery forward market. We should gradually build channels for linking foreign exchange markets, improve the level of risk supervision and fully release the role of forward market price discovery.
【学位授予单位】：华中科技大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F832.6
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