人民币在岸汇率与离岸汇率的波动及相互关系研究
发布时间：2019-07-01 17:31
【摘要】：在人民币国际化进程不断深入以及人民币汇率市场化程度越来越高的新形势下,人民币兑美元汇率的波动也在加剧。同时人民币离岸外汇市场的交易量已经远超过在岸市场的交易量,人民币在岸汇率与离岸汇率之间的相互影响也越来越重要。从2015年下半年开始人民币兑美元汇率有明显的上升趋势,这是与2015年之前的人民币一直存在的升值压力不同的。因此对新形势下人民币在岸汇率与离岸汇率的波动及相互关系研究就很有意义。本文首先对人民币在岸外汇市场和离岸外汇市场的发展历史及汇率的形成机制进行了研究,并通过对最近几年的在岸汇率和离岸汇率变化趋势可以看出两者之间存在着某种联系,接着分析了汇率决定的主要影响因素和相关模型,及在离岸外汇市场和在岸外汇市场的不同应用。由在岸市场与离岸市场不同特点得出在岸市场受实体经济的影响比较大,产品属性较强,有调整慢的特点,因此比较符合汇率决定的多恩布什模型;而离岸市场以金融衍生品为主,受外汇投机交易的影响比较大,有调整快的特点,因此在汇率决定上更符合资产市场模型或随机漫步模型。其次通过对在岸汇率和离岸汇率时间序列的向量自回归分析(VAR)、协整检验和向量误差修正分析(VEC),验证了人民币在岸汇率与离岸汇率彼此之间存在固定的比例关系及不同特点,在岸汇率对离岸汇率有牵制作用,离岸汇率对在岸汇率有预测作用。在岸汇率与离岸汇率的彼此作用关系上,在岸汇率还是处于主导地位。之后分析了新形势下在岸市场和离岸市场的相互联系方式,双汇率制下的套利影响以及人民币离岸市场发展的意义和存在的风险。通过对双汇率制下的套利活动进行分析得出当离岸汇率高于在岸汇率且人民币是远期升水时或者当离岸汇率低于在岸汇率且人民币是远期贴水时,套利不易进行。当离岸汇率高于在岸汇率且人民币是远期贴水时或者当离岸汇率低于在岸汇率且人民币是远期升水时,将强化预期,加剧汇率波动。最后对全文进行了总结,并从经济基本面和整体均衡方面给出了建议。
[Abstract]:Under the new situation that the internationalization of RMB is deepening and the degree of marketization of RMB exchange rate is getting higher and higher, the fluctuation of RMB exchange rate against US dollar is also increasing. At the same time, the trading volume of RMB offshore foreign exchange market has far exceeded that of onshore market, and the interaction between RMB and offshore exchange rate is becoming more and more important. Since the second half of 2015, the renminbi has shown a clear upward trend against the dollar, which is different from the pressure on the yuan to appreciate until 2015. Therefore, it is of great significance to study the fluctuation and relationship between RMB onshore exchange rate and offshore exchange rate under the new situation. This paper first studies the development history and formation mechanism of RMB onshore foreign exchange market and offshore foreign exchange market, and through the change trend of onshore exchange rate and offshore exchange rate in recent years, we can see that there is a certain relationship between them, and then analyzes the main influencing factors and related models of exchange rate determination, and the different applications in offshore foreign exchange market and onshore foreign exchange market. From the different characteristics of the onshore market and the offshore market, it is concluded that the onshore market is greatly influenced by the real economy, the product attribute is strong, and the adjustment is slow, so it is more in line with the DornBush model determined by the exchange rate, while the offshore market is dominated by financial derivatives, which is greatly affected by foreign exchange speculation and has the characteristics of fast adjustment, so it is more in line with the asset market model or random walk model in the exchange rate decision. Secondly, through vector autoregression analysis of onshore exchange rate and offshore exchange rate time series, (VAR), cointegration test and vector error correction analysis (VEC), verify that RMB has a fixed proportional relationship and different characteristics between onshore exchange rate and offshore exchange rate. The offshore exchange rate can restrain the offshore exchange rate, and the offshore exchange rate has a predictive effect on the onshore exchange rate. In the relationship between shoreline exchange rate and offshore exchange rate, the onshore exchange rate is still in a dominant position. Then it analyzes the interrelation between the onshore market and the offshore market under the new situation, the arbitrage influence under the double exchange rate system, and the significance and risks of the development of the RMB offshore market. Through the analysis of arbitrage activities under the double exchange rate system, it is concluded that arbitrage is not easy to carry out when the offshore exchange rate is higher than the onshore exchange rate and the RMB is forward rising or when the offshore exchange rate is lower than the onshore exchange rate and the RMB is a forward discount. When the offshore exchange rate is higher than the onshore exchange rate and the RMB is a forward discount, or when the offshore exchange rate is lower than the onshore exchange rate and the RMB is a forward rise, expectations will be strengthened and exchange rate fluctuations will be intensified. Finally, the paper summarizes the full text, and gives some suggestions from the aspects of economic fundamentals and overall equilibrium.
【学位授予单位】：对外经济贸易大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.6
本文编号：2508672
[Abstract]:Under the new situation that the internationalization of RMB is deepening and the degree of marketization of RMB exchange rate is getting higher and higher, the fluctuation of RMB exchange rate against US dollar is also increasing. At the same time, the trading volume of RMB offshore foreign exchange market has far exceeded that of onshore market, and the interaction between RMB and offshore exchange rate is becoming more and more important. Since the second half of 2015, the renminbi has shown a clear upward trend against the dollar, which is different from the pressure on the yuan to appreciate until 2015. Therefore, it is of great significance to study the fluctuation and relationship between RMB onshore exchange rate and offshore exchange rate under the new situation. This paper first studies the development history and formation mechanism of RMB onshore foreign exchange market and offshore foreign exchange market, and through the change trend of onshore exchange rate and offshore exchange rate in recent years, we can see that there is a certain relationship between them, and then analyzes the main influencing factors and related models of exchange rate determination, and the different applications in offshore foreign exchange market and onshore foreign exchange market. From the different characteristics of the onshore market and the offshore market, it is concluded that the onshore market is greatly influenced by the real economy, the product attribute is strong, and the adjustment is slow, so it is more in line with the DornBush model determined by the exchange rate, while the offshore market is dominated by financial derivatives, which is greatly affected by foreign exchange speculation and has the characteristics of fast adjustment, so it is more in line with the asset market model or random walk model in the exchange rate decision. Secondly, through vector autoregression analysis of onshore exchange rate and offshore exchange rate time series, (VAR), cointegration test and vector error correction analysis (VEC), verify that RMB has a fixed proportional relationship and different characteristics between onshore exchange rate and offshore exchange rate. The offshore exchange rate can restrain the offshore exchange rate, and the offshore exchange rate has a predictive effect on the onshore exchange rate. In the relationship between shoreline exchange rate and offshore exchange rate, the onshore exchange rate is still in a dominant position. Then it analyzes the interrelation between the onshore market and the offshore market under the new situation, the arbitrage influence under the double exchange rate system, and the significance and risks of the development of the RMB offshore market. Through the analysis of arbitrage activities under the double exchange rate system, it is concluded that arbitrage is not easy to carry out when the offshore exchange rate is higher than the onshore exchange rate and the RMB is forward rising or when the offshore exchange rate is lower than the onshore exchange rate and the RMB is a forward discount. When the offshore exchange rate is higher than the onshore exchange rate and the RMB is a forward discount, or when the offshore exchange rate is lower than the onshore exchange rate and the RMB is a forward rise, expectations will be strengthened and exchange rate fluctuations will be intensified. Finally, the paper summarizes the full text, and gives some suggestions from the aspects of economic fundamentals and overall equilibrium.
【学位授予单位】：对外经济贸易大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.6
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