人民币定价权的动态演变——基于汇率波动区间的比较分析
发布时间：2018-12-21 12:09
【摘要】：2015年“8·11”汇改以来,汇率波动区间不断扩大,由此引发了多次香港人民币离岸市场的多空博弈,凸显了人民币定价权的重要性。参考央行扩大汇率波动区间的时间点,采用GARCH-BEKK模型实证检验了在不同汇率波动区间下在岸人民币市场(CNY)和人民币无本金交割远期外汇交易市场(NDF)的汇率联动效应,以此分析人民币定价权的动态演变过程。研究发现,汇率波动区间的扩大会强化离岸汇率的主导权,在人民币定价权的争夺过程中,央行动用外汇储备干预汇市和收紧离岸人民币流动性都是短期权宜之计;而建立高效、灵活、富有弹性的人民币汇率定价机制才是长远的根本之策。
[Abstract]:Since the "11 August" exchange rate reform in 2015, the range of exchange rate fluctuations has been expanding, which has triggered many short games in the offshore market of the renminbi in Hong Kong, highlighting the importance of the pricing power of the renminbi. Referring to the time point when the central bank expands the range of exchange rate fluctuations, the paper empirically tests the exchange rate linkage effect of (CNY) in onshore RMB market and (NDF) in non-deliverable forward exchange market under different exchange rate volatility ranges by using GARCH-BEKK model. Based on this analysis of the RMB pricing power dynamic evolution process. It is found that the expansion of the range of exchange rate fluctuations will strengthen the dominance of the offshore exchange rate. In the process of competing for the pricing power of RMB, the central bank uses foreign exchange reserves to intervene in the foreign exchange market and tighten offshore RMB liquidity is both short-term expedient; And the establishment of efficient, flexible, flexible RMB exchange rate pricing mechanism is the long-term fundamental strategy.
，
本文编号：2388892
[Abstract]:Since the "11 August" exchange rate reform in 2015, the range of exchange rate fluctuations has been expanding, which has triggered many short games in the offshore market of the renminbi in Hong Kong, highlighting the importance of the pricing power of the renminbi. Referring to the time point when the central bank expands the range of exchange rate fluctuations, the paper empirically tests the exchange rate linkage effect of (CNY) in onshore RMB market and (NDF) in non-deliverable forward exchange market under different exchange rate volatility ranges by using GARCH-BEKK model. Based on this analysis of the RMB pricing power dynamic evolution process. It is found that the expansion of the range of exchange rate fluctuations will strengthen the dominance of the offshore exchange rate. In the process of competing for the pricing power of RMB, the central bank uses foreign exchange reserves to intervene in the foreign exchange market and tighten offshore RMB liquidity is both short-term expedient; And the establishment of efficient, flexible, flexible RMB exchange rate pricing mechanism is the long-term fundamental strategy.
，
本文编号：2388892
本文链接：https://www.wllwen.com/jingjilunwen/huobiyinxinglunwen/2388892.html
