基于香港离岸和境内即期与境外NDF市场的人民币汇率实证分析

发布时间：2018-11-23 11:57

【摘要】：人民币汇率走势由哪个市场主导,一直是政府与学术界关注的热点问题。香港人民币离岸市场出现之前,大部分学者认为人民币汇率走势被人民币境外NDF所控制；香港人民币离岸即期汇率市场与香港离岸不交收人民币远期汇率市场的出现,使得这一讨论变得更加激烈与复杂。为了进一步弄清该问题,本文基于利率平价理论,研究人民币大陆(境内)即期市场、人民币境外NDF市场、香港人民币离岸即期汇率市场与香港离岸不交收人民币远期汇率市场这四个市场之间的相互关系,以此来确定哪个市场主导人民币汇率的价格走势。研究结果表明,人民币境外NDF市场均单方向地引导着人民币大陆(境内)即期市场和香港人民币离岸即期市场,香港离岸不交收人民币远期市场单方向地引导着香港人民币离岸即期市场,即当今人民币汇率走势被人民币境外市场所掌握。本文又基于GARCH模型,研究了人民币境外NDF市场与香港离岸不交收人民币远期市场之间的关系,分析得出香港离岸不交收人民币远期市场受人民币境外NDF市场单方向波动影响。通过以上分析,本文得出当今人民币汇率走势依然掌握在人民币境外NDF市场手中的结论。面对这一局面,本文从学术角度和政府政策角度分别给出了建议,学术角度本文认为在夯实理论的基础上,应继续跟踪香港人民币离岸市场的相关汇率数据,增加实证分析的数据个数,探寻更加合适的实证方法对四个市场关系进行分析；政府也应逐步放开对人民币大陆(境内)即期汇率的管制,推动其市场化的同时,颁布针对香港人民币离岸即期市场、香港离岸不交收人民币远期汇率市场的金融法律法规,营造一个开放、健康的金融环境,促进香港市场的稳定快速发展。
[Abstract]:Which market dominates the trend of RMB exchange rate has been a hot issue concerned by the government and academia. Before the emergence of offshore renminbi market in Hong Kong, most scholars believed that the trend of RMB exchange rate was controlled by NDF outside the RMB. The emergence of the Hong Kong renminbi spot market and the Hong Kong offshore non-deliverable renminbi forward market has made the discussion even more intense and complex. In order to further understand this problem, based on the theory of interest rate parity, this paper studies the spot market of RMB mainland (domestic), the NDF market outside RMB. The relationship between the offshore spot exchange rate market in Hong Kong and the four markets in the offshore non-deliverable renminbi forward exchange rate market in Hong Kong to determine which market dominates the price movements of the renminbi exchange rate. The research results show that the offshore NDF market of RMB leads the spot market of the mainland RMB (domestic) and the offshore spot market of RMB in Hong Kong in a single direction. The offshore non-deliverable forward market in Hong Kong is leading the offshore spot market in Hong Kong in one direction, that is to say, the trend of the RMB exchange rate is controlled by the overseas RMB market. Based on the GARCH model, this paper studies the relationship between the offshore NDF market and the offshore unsettled renminbi forward market in Hong Kong. It is concluded that the offshore NDF market in Hong Kong is affected by the one-way volatility of the offshore NDF market in Hong Kong. Through the above analysis, this paper draws the conclusion that the trend of RMB exchange rate is still in the hands of NDF market. In the face of this situation, this paper gives some suggestions from the angle of academic and government policy respectively. From the academic point of view, we should continue to track the relevant exchange rate data of the offshore RMB market in Hong Kong on the basis of tamping theory. Increase the number of empirical analysis data, explore more appropriate empirical methods to analyze the four market relationships; The government should also gradually liberalize the control of the spot exchange rate of the renminbi mainland (domestic), promote its marketization, and at the same time promulgate financial laws and regulations aimed at the offshore spot market of the renminbi in Hong Kong and the market for non-settlement of the renminbi forward exchange rate in Hong Kong. To create an open and healthy financial environment to promote the stable and rapid development of the Hong Kong market.
【学位授予单位】：北京邮电大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.6;F224

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