国际金融市场波动与离在岸人民币汇差的动态相关性研究

发布时间：2018-05-21 02:38

本文选题：国际金融市场 + 离岸市场　；参考：《财贸研究》2017年03期

【摘要】：在剖析国际金融市场波动对离在岸人民币汇差的影响机制的基础上,利用2012年9月24日至2016年10月25日的离在岸人民币即、远期汇率,以及美国VIX指数和德国VDAX指数数据,通过构建DCC-GARCH和VEC模型对国际金融市场和离在岸即、远期汇差进行长短期动态相关性分析。结果表明:国际金融市场和离在岸人民币即、远期汇差变动有一定的动态相关性,811汇改前、后这种相关性没有明显的变化;不论长期里还是短期内,离在岸即期汇差和远期汇差的相关性都更强。为此,当前应稳步实行汇率"双轨制",加强对离岸人民币外汇市场的监测,进一步寻求离在岸市场协调发展的长效机制。
[Abstract]:On the basis of analyzing the influence mechanism of the fluctuation of international financial market on the RMB exchange rate difference between shore and shore, this paper makes use of the data from September 24, 2012 to October 25, 2016, that is, the forward exchange rate of the onshore RMB, as well as the data of the VIX index of the United States and the VDAX index of Germany. DCC-GARCH and VEC models are constructed to analyze the long-term and short-term dynamic correlation between the international financial market and off-shore, that is, forward sink difference. The results show that: there is a dynamic correlation between the international financial market and off-shore RMB, that is, the forward exchange rate difference has a certain dynamic correlation before the exchange rate reform, but there is no obvious change in this correlation after the exchange rate reform, whether in the long term or in the short term, The correlation between spot sink difference and forward sink difference is stronger. Therefore, we should carry out the "double track system" of exchange rate steadily at present, strengthen the monitoring of offshore RMB foreign exchange market, and further seek a long-term effective mechanism for the coordinated development of off-shore market.
【作者单位】：辽宁大学经济学院;山东财经大学金融学院;
【基金】：国家社科基金项目“人民币国际化战略下货币竞争与危机防范对策研究”(16BGJ004) 山东省高校人文社科研究计划项目“金融危机对境内外人民币汇率相关性的影响研究”(J16WE20)
【分类号】：F832.6

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