离在岸人民币市场间信息溢出效应研究

发布时间：2018-05-12 06:38

本文选题：离在岸人民币市场 + 信息溢出效应　；参考：《深圳大学》2017年硕士论文

【摘要】：近年来,随着人民币国际化进程加快,在岸人民币市场化程度不断提高,而离岸人民币市场作为人民币国际化战略的重要一环,也得到了长足的发展。在此背景下,研究离岸与在岸人民币市场间的联动关系有助于探讨人民币定价权归属问题。然而,随着经济形势的变化与市场化改革的推进,市场间的信息传递与联动关系也在发生着变化。本文首先梳理了在岸与离岸人民币市场的发展历史与现状,然后从定性的角度分析了两市场间联动的渠道。创新之处在于将研究视角着重放在离岸与在岸人民币市场间联动关系的变化上,以经济形势的转变、汇率制度的改革为依据将金融危机后至今的人民币汇率分为四个时间阶段,分别从报酬溢出和波动溢出两个方面用实证模型分析两市场的联动关系的变化及定价权的归属问题。在实证方面,本文首先选择Granger因果检验和VAR模型脉冲响应函数对两市场间的报酬溢出进行分析。然后使用BEKK-GARCH模型进行波动溢出效应的分析。实证结果表明:在报酬溢出方面,随着在岸人民币市场化改革的推进,两市场间逐渐呈现出双向引导的良性互动关系。而在波动溢出方面,随着在岸人民币汇率弹性的增加,波动信息优势由离岸市场逐渐转向在岸市场,在岸市场显现出本土信息优势。实证检验证明,人民币国际化改革并未使在岸市场失去人民币的定价权,相反,它使得离岸与在岸市场联系更加紧密,人民币国际化改革卓有成效。鉴于两市场的发展现状,本文在最后提出完善离岸人民币市场基础设施建设、丰富市场交易产品种类和建设多层次的在岸人民币外汇市场的政策建议,以期进一步推动人民币国际化战略的进程。
[Abstract]:In recent years, with the accelerated process of RMB internationalization, the marketization of onshore RMB has been continuously improved. As an important part of RMB internationalization strategy, the offshore RMB market has also been greatly developed. In this context, it is helpful to study the relationship between offshore and onshore RMB market. However, with the change of economic situation and the promotion of market-oriented reform, the relationship between information transmission and linkage between markets is also changing. This paper firstly combs the development history and present situation of onshore and offshore RMB markets, and then analyzes the channels of linkage between the two markets qualitatively. The innovation lies in focusing on the change of the linkage relationship between offshore and onshore RMB market from the perspective of research. Based on the change of economic situation and the reform of exchange rate system, the RMB exchange rate since the financial crisis has been divided into four stages. The relationship between the two markets and the attribution of pricing power are analyzed by empirical model from two aspects of return spillover and volatility spillover. In the empirical aspect, we first choose Granger causality test and VAR model impulse response function to analyze the return spillover between the two markets. Then the BEKK-GARCH model is used to analyze the volatility spillover effect. The empirical results show that, with the promotion of onshore RMB marketization reform, there is a positive interaction between the two markets. In the aspect of volatility spillover, with the increase of the exchange rate elasticity of onshore RMB, the fluctuation information advantage gradually shifts from the offshore market to the onshore market, showing the local information advantage in the onshore market. The empirical test shows that the RMB internationalization reform has not lost the RMB pricing power in onshore market, on the contrary, it has made offshore and onshore markets more closely linked, and the RMB internationalization reform has been fruitful. In view of the present situation of the two markets, this paper finally puts forward some policy suggestions for perfecting the infrastructure construction of the offshore RMB market, enriching the types of trading products in the market and building a multi-level onshore RMB foreign exchange market. With a view to further promoting the RMB internationalization strategy process.
【学位授予单位】：深圳大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.6

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