人民币离岸在岸汇率波动特征、差异原因、影响及对策研究
发布时间：2019-07-03 09:43
【摘要】：针对人民币离岸在岸汇差持续存在现象,系统研究其波动特征、形成原因及影响。利用GIRBEKK-GARCH模型研究发现离岸市场主导汇差方向;利用DCC-GARCH模型研究发现离岸在岸市场割裂程度还比较严重;构建SVAR模型研究发现目前套利因素是汇差形成的主因、宏观经济波动因素是次因,而市场分割因素对其影响相对较小;鉴于汇差对经济金融秩序的干扰,研究提出增强对离岸市场调控能力、保持宏观经济稳定运行、加强离岸在岸互联互通等促进汇率收敛的政策建议。
[Abstract]:In view of the persistent phenomenon of RMB offshore exchange rate difference on shore, the fluctuation characteristics, causes and effects of RMB offshore exchange rate are systematically studied. Using GIRBEKK-GARCH model to find the dominant convergence direction of offshore market, using DCC-GARCH model to find that the degree of offshore onshore market fragmentation is still more serious, the construction of SVAR model shows that arbitrage factor is the main cause of exchange difference, macroeconomic fluctuation factor is the secondary cause, and market segmentation factor has relatively little influence on it. In view of the interference of exchange rate to economic and financial order, this paper puts forward some policy suggestions to promote exchange rate convergence, such as strengthening the regulation and control ability of offshore market, maintaining macroeconomic stable operation, strengthening offshore onshore interconnection and so on.
【作者单位】： 同济大学经济与管理学院;
【分类号】：F832.6
[Abstract]:In view of the persistent phenomenon of RMB offshore exchange rate difference on shore, the fluctuation characteristics, causes and effects of RMB offshore exchange rate are systematically studied. Using GIRBEKK-GARCH model to find the dominant convergence direction of offshore market, using DCC-GARCH model to find that the degree of offshore onshore market fragmentation is still more serious, the construction of SVAR model shows that arbitrage factor is the main cause of exchange difference, macroeconomic fluctuation factor is the secondary cause, and market segmentation factor has relatively little influence on it. In view of the interference of exchange rate to economic and financial order, this paper puts forward some policy suggestions to promote exchange rate convergence, such as strengthening the regulation and control ability of offshore market, maintaining macroeconomic stable operation, strengthening offshore onshore interconnection and so on.
【作者单位】： 同济大学经济与管理学院;
【分类号】：F832.6
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