人民币离岸与在岸汇率差异及其波动研究
发布时间：2018-07-29 14:16
【摘要】：文章通过建立基本的GARCH模型和扩展的GARCH模型,探讨了市场基本面、全球金融市场环境以及相关政策等因素对人民币离岸和在岸市场的定价差异的影响。实证结果表明,人民币离岸和在岸市场定价差异是多方面因素共同作用的结果,两个市场流动性差异和参与者预期差异对于人民币离岸和在岸定价差异及其波动会产生显著影响,全球风险厌恶情绪上涨和美元升值会增大人民币在两个市场的定价差异及其波动。在政策方面,允许人民币资本跨境流出的措施会明显减少两个市场的定价差距,反之亦然。在岸市场人民币兑美元中间价形成机制改革显著地扩大了人民币两个市场的差异,加剧了其波动。
[Abstract]:By establishing the basic GARCH model and the extended GARCH model, this paper discusses the influence of market fundamentals, global financial market environment and related policies on the pricing differences between offshore and onshore markets of RMB. The empirical results show that the pricing differences between offshore and onshore markets are the result of multiple factors. Liquidity differences and participants' expectations in the two markets have a significant impact on offshore and onshore pricing differences and their volatility. A rise in global risk aversion and a stronger dollar would increase the price difference and volatility of the yuan in both markets. On the policy front, allowing cross-border outflows of renminbi capital would significantly reduce the pricing gap between the two markets, and vice versa. The reform of the formation mechanism of RMB / USD in onshore market has significantly widened the difference between the two markets and exacerbated its volatility.
【作者单位】： 南开大学跨国公司研究中心;南开大学国际经济研究所;
【基金】：国家社会科学基金重大项目“引进外资与对外投资两大开放战略的协调机制与政策研究”(项目号:15ZDA057) 教育部人文社会科学基地重大项目(项目号:11JJD790005) 中国特色社会主义经济建设协同创新中心和南开大学亚洲研究中心项目(项目号:AS1507)的资助
【分类号】：F832.6
，
本文编号：2152943
[Abstract]:By establishing the basic GARCH model and the extended GARCH model, this paper discusses the influence of market fundamentals, global financial market environment and related policies on the pricing differences between offshore and onshore markets of RMB. The empirical results show that the pricing differences between offshore and onshore markets are the result of multiple factors. Liquidity differences and participants' expectations in the two markets have a significant impact on offshore and onshore pricing differences and their volatility. A rise in global risk aversion and a stronger dollar would increase the price difference and volatility of the yuan in both markets. On the policy front, allowing cross-border outflows of renminbi capital would significantly reduce the pricing gap between the two markets, and vice versa. The reform of the formation mechanism of RMB / USD in onshore market has significantly widened the difference between the two markets and exacerbated its volatility.
【作者单位】： 南开大学跨国公司研究中心;南开大学国际经济研究所;
【基金】：国家社会科学基金重大项目“引进外资与对外投资两大开放战略的协调机制与政策研究”(项目号:15ZDA057) 教育部人文社会科学基地重大项目(项目号:11JJD790005) 中国特色社会主义经济建设协同创新中心和南开大学亚洲研究中心项目(项目号:AS1507)的资助
【分类号】：F832.6
，
本文编号：2152943
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