人民币在岸与离岸金融市场汇率溢出效应研究

发布时间：2018-05-01 17:19

本文选题：人民币离岸市场 + 汇率　；参考：《首都经济贸易大学》2017年硕士论文

【摘要】：人民币离岸市场的繁荣发展已成为人民币走向国际化的重要抓手。在当前经济全球化的大背景下,研究人民币在岸与离岸市场汇率溢出效应的问题,能够促使货币当局有效制定货币政策与风险管理方案,加强监管部门对在、离岸市场的的金融监管,从而降低人民币离岸市场的投机性与不稳定性,稳定在岸与离岸金融市场的汇率,促进不同市场间汇率关系的协调发展,为人民币国际化的发展打下坚实的堡垒。本文按照“提出问题—分析问题—解决问题”的思路,首先,梳理了人民币在岸与离岸金融市场相互作用的基本理论,说明国际金融市场中人民币在岸与离岸金融市场之间的动态关联机制。其次,采用了理论与实证相结合的方法,通过建立VAR模型与BEKK-GARCH模型分别论述了在岸市场与离岸市场汇率的价格溢出及波动溢出效应,研究结果表明,在价格溢出效应方面,人民币在岸即期汇率作为整个汇率市场的基础,处于整个信息的中心,对离岸即期、离岸远期均有显著的引导效应;离岸即期对在岸即期、离岸远期对在岸远期也均具有显著的引导效应。在波动溢出效应方面,离岸即期与在岸远期市场、离岸远期与在岸远期之间均存在相互波动溢出效应;而两个即期市场之间则没有明显的波动溢出效应。同时,借鉴国际成功经验—美元的离岸金融市场(欧洲美元、IBFs),追溯其发展历程,总结经验教训,取其精华,为我所用。最后,根据结论,提出推动新常态下经济健康发展、深化在岸金融市场体制改革、拓宽在岸离岸资本循环渠道与加强在岸离岸金融协调监管的政策建议,为加快人民币国际化进程发挥更重要的作用。
[Abstract]:The prosperity and development of RMB offshore market has become an important grasp of RMB internationalization. Under the background of the current economic globalization, studying the spillover effect of RMB exchange rate in the onshore and offshore markets can prompt the monetary authorities to formulate monetary policy and risk management schemes effectively, and strengthen the regulatory departments' response to the exchange rate spillover effects. The financial supervision of the offshore market reduces the speculative and unstable nature of the offshore RMB market, stabilizes the exchange rate between the onshore and offshore financial markets, and promotes the coordinated development of the exchange rate relationship between different markets. For the development of RMB internationalization to lay a solid fortress. According to the idea of "posing problem-analyzing problem-solving problems", this paper firstly combs the basic theory of the interaction between RMB in onshore and offshore financial markets. This paper illustrates the dynamic correlation mechanism between onshore and offshore financial markets in international financial markets. Secondly, using the method of combining theory and practice, this paper discusses the price spillover and volatility spillover effect of exchange rate in onshore market and offshore market by establishing VAR model and BEKK-GARCH model respectively. The research results show that the price spillover effect is significant in the aspect of price spillover effect. As the basis of the whole exchange rate market, the onshore spot exchange rate of RMB is at the center of the whole information. Offshore forward also has significant guiding effect on onshore forward. In terms of volatility spillover effect, there is mutual volatility spillover effect between offshore spot market and onshore forward market, offshore forward and onshore forward, but there is no obvious volatility spillover effect between the two spot markets. At the same time, draw lessons from the international successful experience-dollar offshore financial market (Eurodollar IBFs), trace its development process, sum up the experience and lessons, take its essence, for our own use. Finally, according to the conclusion, the paper puts forward some policy suggestions on promoting the healthy development of economy under the new normal, deepening the reform of onshore financial market system, widening the channels of offshore capital circulation and strengthening the coordinated supervision of onshore offshore finance. In order to speed up the internationalization of the RMB to play a more important role.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.6

【参考文献】