人民币在岸与离岸金融市场汇率关联实证研究

发布时间：2018-08-18 16:35

【摘要】：全球次贷危机以后,随着国际化竞争的加剧,我国政府开始加快推动人民币国际化的进程。从尝试人民币跨境贸易结算开始到近两年推出的人民币对日元直接交易,人民币在国际货币市场中的地位逐渐提升,其国际货币的功效也逐步显现。2010年7月,中国人民银行为了进一步推进人民币国际化进程,开始放松对人民币在香港离岸市场的管制,从而开启了香港离岸人民币市场的发展。特别是在当时人民币市场开放性还不足、相对来说资本跨境交换较难实现的情况下,香港离岸人民币市场的发展有利于人民币跨境流动和国际化发展,随着人民币跨境贸易规模的增加和各地区货币互换等业务的发展,香港人民币离岸市场(简称CNH市场)与人民币在岸市场(简称CNY市场)之间的联系也更加的密切,并呈现不断加强之势。一方面,人民币在岸市场参与者认为离岸市场的发展能够更好的推动人民币的国际化接轨,且离岸市场价格更能够反映人民币市场的国际行情；另一方面,参与离岸市场的投资者也会根据人民币在岸市场的变化来研判人民币离岸市场价格影响因素的变动情况。除了人民币的在岸市场和香港离岸市场之外,20世纪90年代形成的人民币无本金交割远期市场(简称NDF市场)作为人民币海外市场的组成部分,在一定程度上也能够反映人民币国际市场上的供求关系及其国际地位的变化,并且相对于香港人民币离岸市场来说,NDF市场的发展较早,能够某些方面对人民币市场发展产生指引作用。所以,以人民币在岸汇率与离岸汇率的发展及其两者之间的作用关系作为研究对象,通过研究分析我国汇率发展,以期为我国汇率制度的发展以及人民币国际化进程的推进产生一定的理论依据。同时,随着人民币国际化进程的加快,在岸市场与离岸市场之间的关系也越来越密切,本文通过实证研究两者之间的相互作用关系,也为政府相关部门制定或者调整国家经济政策提供支持,具有重要的现实意义。本文研究主要从五个方面展开,首先是本文的现实基础部分,主要对人民币在岸市场与离岸市场发展背景及现状阐述的基础上得出本文的研究意义,并且在此基础上对国内外相关学者在离岸汇率与在岸汇率等相关方面展开的研究进行了梳理,并在对前期研究的基础上形成了本文所要开展的研究框架和主要思路；其次是从研究的理论基础部分进行阐述,主要对在岸市场与离岸市场研究的相关理论及其两个市场之间所存在的内部相关性进行了理论上的初步分析；再次对本文的研究对象中的香港人民币离岸市场发展进行了研究,发现其中存在的主要问题,为后期开展的实证研究奠定了一定的分析基础,同时也为后期的政策建议的提出提供了方向；第四部分为实证研究部分,主要在前期基础上运用计量经济学中的格兰杰因果检验、协整检验等对人民币在岸市场与离岸市场之间存在的相关性进行了数理分析,通过数据和研究结果论证在岸市场与离岸市场之间的关系；最后,综合理论和实证研究结合我国人民币相关市场的发展,提出了人民币在岸市场与离岸市场发展的政策建议,也为我国人民币国际化发展提供借鉴。
[Abstract]:After the global sub-prime mortgage crisis, with the intensification of international competition, the Chinese government began to speed up the process of RMB internationalization. From the beginning of RMB cross-border trade settlement to the introduction of RMB-yen direct trading in recent two years, the status of RMB in the international money market has gradually improved, and the effectiveness of its international currency has gradually become apparent. In July 2010, the People's Bank of China, in order to further promote the internationalization of the RMB, began to relax the control of the RMB offshore market in Hong Kong, thus opening up the development of the offshore RMB market in Hong Kong. The development of the offshore RMB market in Hong Kong is conducive to the development of RMB cross-border flow and internationalization. With the increase of RMB cross-border trade and the development of currency swaps in various regions, the relationship between the offshore RMB market in Hong Kong (CNH market) and the onshore RMB market (CNY market) has become more and more close. On the one hand, the RMB onshore market participants believe that the development of offshore market can better promote the internationalization of the RMB, and the offshore market price can better reflect the international market of the RMB; on the other hand, investors in the offshore market will judge people according to the changes of the RMB onshore market. In addition to the onshore market of RMB and the offshore market of Hong Kong, the non-principal delivery forward market (NDF) formed in the 1990s, as a component of the offshore market of RMB, can also reflect the supply and demand of RMB in the international market to a certain extent. Compared with the offshore RMB market in Hong Kong, the development of NDF market is earlier, and it can guide the development of RMB market in some aspects. Therefore, this paper takes the development of RMB onshore exchange rate and offshore exchange rate and the relationship between them as the research object and analyzes them through research and analysis. At the same time, with the acceleration of RMB internationalization process, the relationship between onshore market and offshore market is becoming closer and closer. This paper makes an empirical study of the interaction between the two, as well as the government. It is of great practical significance for relevant departments to formulate or adjust their national economic policies.
This paper studies mainly from five aspects, the first part is the realistic basis of this paper, mainly on the basis of the RMB onshore market and offshore market development background and status quo elaboration, and on this basis, the domestic and foreign scholars in the offshore exchange rate and onshore exchange rate and other related aspects of research progress. It combs and forms the research framework and main ideas to be carried out in this paper on the basis of the previous research; secondly, it expounds the theoretical basis of the study, mainly carries out a theoretical analysis of the relevant theories of the onshore market and offshore market research and the internal correlation between the two markets. Thirdly, this paper studies the development of the RMB offshore market in Hong Kong, and finds out the main problems, which lays a certain analytical foundation for the later empirical study, and also provides direction for the later policy recommendations. The fourth part is the empirical study, mainly in the early foundation. On the basis of the Granger causality test and cointegration test in econometrics, this paper makes a mathematical analysis of the correlation between the onshore market and offshore market of Renminbi, demonstrates the relationship between onshore market and offshore market through data and research results; finally, it combines the comprehensive theoretical and empirical research with the relevant market of Renminbi in China. The paper puts forward some policy suggestions on the development of RMB onshore market and offshore market, and also provides reference for the internationalization of RMB in China.
【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

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