摘要
本文在汇率决定的微观模型基础上,根据境内外制度因素进行了修正,由此总结了境内外人民币汇率差异的可能原因,并进行了实证检验。结果表明,境内外人民币汇率差异具有自动收敛机制。境内外风险偏好的不同是汇率差异的重要原因,这也是因为两个市场的微观结构不同——境外交易主体多元化,而境内外汇交易实际以企业为主,其外汇需求弹性低,导致风险厌恶程度高。境内外人民币汇率波动差异的影响不对称。另外,人民银行干预的解释力度较低,境内外利率差异的影响不明显。本文建议多引入非银行金融机构以多样化境内外汇交易参与者;强化人民币双向波动预期;拓宽境外人民币回流渠道。
Based on microeconomic model of exchange rate determination, this paper makes modifications in light of the particular onshore institutional factors and summarizes the possible reasons for the disparity of CNY and CNH exchange rates accordingly, followed by empirical tests. The disparity of CNY and CNH exchange rates shows automatic convergence. The heterogeneity of risk appetite between onshore and offshore markets is an import reason, due to the fact that enterprises onshore account for the major part of FX transactions which have low elasticity of FX demand, leading to relatively high risk aversion. The disparity of RMB volatilities between the two markets has asymmetric impact, with the central bank ’s insufficient explanation for its intervention and the insignificant influence of the interest rate spread in the two markets. The paper suggests that more non-banking financial institutions should be introduced to diversify the participants of FX transactions,thus strengthening the expectation of RMB’s two-way fluctuations and widening CNH’s backflow channels.
出处
《国际金融研究》
CSSCI
北大核心
2015年第5期87-96,共10页
Studies of International Finance
基金
2012年教育部重大课题攻关项目第27号招标课题"我国外汇储备的科学管理及运用战略问题研究"(项目批准号:12JZD027)
国家自然科学基金面上项目"动态优化视角下的中国外汇储备全面风险管理研究"(项目批准号:71473208)资助
关键词
境内外人民币汇率
风险偏好
资本项目开放
CNY and CNH Exchange Rates
Risk Appetite
Capital Account Liberalization
