人民币在岸—离岸汇率波动性问题研究:特征、诱因与对策

发布时间：2018-05-08 11:52

本文选题：在岸—离岸汇差 + 波动性　；参考：《现代财经(天津财经大学学报)》2017年05期

【摘要】：控制境内外人民币汇率价差在合理水平是保障人民币外汇市场稳定的重要环节和手段。本文采用Markov区制转移模型,研究了人民币在岸—离岸汇差波动的区制转移特征、境内外影响因素及脉冲响应。实证结果显示:1、人民币在岸—离岸汇差波动呈现丛聚性,在"811"汇改后这种现象更加明显。2、在汇差"高波动"状态下,中国汇率政策通过境内外因素影响人民币在岸—离岸汇差波动,在汇差"低波动"的状态下,只有汇率政策能够影响汇差波动。3、对人民币未来走势的预期始终与在岸—离岸汇差波动负相关。同时,人民币在离岸汇差存在自动收敛趋势,人民币在离岸市场的一体化已经初具雏形,但人民币在离岸市场一体化的程度仍较低。
[Abstract]:Controlling the domestic and foreign RMB exchange rate spread at a reasonable level is an important link and means to ensure the stability of RMB foreign exchange market. In this paper, the Markov regional transfer model is used to study the regional system transfer characteristics of the fluctuation of RMB exchange difference between onshore and offshore, the influence factors and the impulse response of domestic and foreign exchange rate. The empirical results show that: 1, the fluctuation of RMB onshore / offshore exchange margin is clustered, and this phenomenon is more obvious after the "811" exchange rate reform, and under the condition of "high volatility" of the exchange rate difference, China's exchange rate policy affects the fluctuation of RMB onshore / offshore exchange margin through internal and external factors, and under the condition of "low volatility" of exchange margin, Only exchange rate policy can affect the volatility of exchange margin. The expectation of the future trend of RMB is always negatively correlated with the fluctuation of onshore-offshore exchange margin. At the same time, there is an automatic convergence trend of RMB in offshore exchange rate. The integration of RMB in offshore market has already taken shape, but the degree of integration of RMB in offshore market is still low.
【作者单位】：同济大学经济与管理学院;
【基金】：国家社会科学基金规划项目(10BGJ019)
【分类号】：F832.6

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