境内和离岸人民币外汇市场价格传导和波动溢出效应
发布时间：2018-08-19 07:31
【摘要】：从不同经济发展阶段的视角,研究CNY、CNH和NDF市场间的价格传导机制,检验其均值溢出效应及风险溢出效应的存在性,发现并解释其异质特征,剖析CNH市场对CNY市场、NDF市场对CNH市场价格引导作用的微观机理,给出了实证证据。研究发现:这三个市场的波动丛集现象显著且逐渐趋弱;随着时间推移,当下波动对未来市场波动的影响趋缓,但风险和损失对市场冲击的持续期变长。研究还表明:境内外人民币即期汇差存在自动收敛的机制,价格将趋向一致,尽管汇差的收敛速度和波动分别随时间推移加快和收窄,但收敛缓慢、波动较大且在一段时间内保持较高水平,预期和套利机制仍不能充分发挥市场信息传导功能。CNY市场缺乏对离岸CNH市场和NDF市场的价格引导作用,人民币汇率价格从离岸向境内市场传递,离岸市场对境内市场的价格发现功能随人民币市场化和国际化发展逐渐完善,但溢出效应存在滞后性且反馈周期较长。
[Abstract]:From the perspective of different stages of economic development, this paper studies the price conduction mechanism between CNY CNH and NDF market, tests the existence of its mean spillover effect and risk spillover effect, and finds out and explains its heterogeneity. This paper analyzes the microcosmic mechanism of CNH market to CNY market and NDF market to CNH market price guidance, and gives the empirical evidence. It is found that the volatility cluster phenomenon in these three markets is significant and gradually weakening; with the passage of time, the impact of current volatility on future market volatility slows down, but the duration of risk and loss on market shocks becomes longer. The study also shows that there is an automatic convergence mechanism for the spot exchange rate difference between domestic and foreign RMB, and the price will tend to be the same. Although the convergence rate and fluctuation of the exchange difference accelerate and narrow over time respectively, the convergence rate is slow. Fluctuating and maintaining a high level for a period of time, the expected and arbitrage mechanism still can not give full play to the market information transmission function .CNY market lacks the price guidance function to the offshore CNH market and the NDF market. RMB exchange rate price is transferred from offshore to domestic market. The price discovery function of offshore market to domestic market is gradually improved with the development of RMB marketization and internationalization, but the spillover effect is lagging behind and the feedback period is longer.
【作者单位】： 南京大学经济学院;国泰君安证券;
【基金】：国家自然科学基金资助项目(71371095,71271108)
【分类号】：F832.6
[Abstract]:From the perspective of different stages of economic development, this paper studies the price conduction mechanism between CNY CNH and NDF market, tests the existence of its mean spillover effect and risk spillover effect, and finds out and explains its heterogeneity. This paper analyzes the microcosmic mechanism of CNH market to CNY market and NDF market to CNH market price guidance, and gives the empirical evidence. It is found that the volatility cluster phenomenon in these three markets is significant and gradually weakening; with the passage of time, the impact of current volatility on future market volatility slows down, but the duration of risk and loss on market shocks becomes longer. The study also shows that there is an automatic convergence mechanism for the spot exchange rate difference between domestic and foreign RMB, and the price will tend to be the same. Although the convergence rate and fluctuation of the exchange difference accelerate and narrow over time respectively, the convergence rate is slow. Fluctuating and maintaining a high level for a period of time, the expected and arbitrage mechanism still can not give full play to the market information transmission function .CNY market lacks the price guidance function to the offshore CNH market and the NDF market. RMB exchange rate price is transferred from offshore to domestic market. The price discovery function of offshore market to domestic market is gradually improved with the development of RMB marketization and internationalization, but the spillover effect is lagging behind and the feedback period is longer.
【作者单位】： 南京大学经济学院;国泰君安证券;
【基金】：国家自然科学基金资助项目(71371095,71271108)
【分类号】：F832.6
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【共引文献】
相关期刊论文 前10条
1 翟晓英;于s，
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