人民币在岸离岸市场联动关系与定价权归属研究

发布时间：2018-11-22 19:32

【摘要】：本文采用滚动协整迹检验对人民币在岸离岸市场的联动关系进行分析,并基于信息溢出和价格发现理论,从统计和经济显著性两个方面来确定人民币汇率定价权归属。研究发现,境内外人民币外汇市场的一体化联系具有较强的时变性,且境内外即期市场的一体化水平高于远期市场。在价格与波动两个层面,在岸市场从总体上拥有即期定价权,离岸市场掌握远期定价权,且相比价格层面,在岸离岸市场在波动层面的联系更为密切,波动风险比价格信息更易于传导。动态结果进一步显示,2016年3月以来,离岸市场正在逐步掌握即期定价权,即期定价权存在旁落境外的风险;虽然离岸市场从总体上掌握远期定价权,但在央行外汇市场干预强化的时期,在岸市场仍享有远期定价权。
[Abstract]:Based on the theory of information spillover and price discovery, this paper uses the rolling cointegration test to analyze the linkage of RMB in onshore offshore market, and determines the attribution of RMB exchange rate pricing power from two aspects: statistical and economic significance. It is found that the integration of the domestic and foreign RMB foreign exchange market has a strong time-varying relationship and the integration level of the domestic and foreign immediate market is higher than that of the forward market. In the two levels of price and fluctuation, the onshore market has the spot pricing power in general, the offshore market has the forward pricing power, and compared with the price level, the onshore offshore market is more closely related to the fluctuation level. Volatility risk is easier to transmit than price information. The dynamic results further show that, since March 2016, the offshore market has gradually grasped the spot pricing power, and the spot pricing power has the risk of falling overseas; Although the offshore market has overall forward pricing power, it still enjoys forward pricing power in onshore markets at a time when the central bank's intervention in the foreign exchange market has intensified.
【作者单位】：天津财经大学经济学院金融系;南开大学经济学院财金研究所中国特色社会主义经济建设协同创新中心;
【基金】：国家社会科学基金重大项目(14ZDB124) 国家自然科学基金项目(71272183、71403183、71571106) 中国特色社会主义经济建设协同创新中心天津市“131”创新型人才团队“金融风险创新团队”的资助
【分类号】：F832.6

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