摘要
在剖析国际金融市场波动对离在岸人民币汇差的影响机制的基础上,利用2012年9月24日至2016年10月25日的离在岸人民币即、远期汇率,以及美国VIX指数和德国VDAX指数数据,通过构建DCC-GARCH和VEC模型对国际金融市场和离在岸即、远期汇差进行长短期动态相关性分析。结果表明:国际金融市场和离在岸人民币即、远期汇差变动有一定的动态相关性,811汇改前、后这种相关性没有明显的变化;不论长期里还是短期内,离在岸即期汇差和远期汇差的相关性都更强。为此,当前应稳步实行汇率"双轨制",加强对离岸人民币外汇市场的监测,进一步寻求离在岸市场协调发展的长效机制。
This paper dissects theoretically and empirically the mechanism that volatilities of international financial markets affect the pertinency of onshore and offshore RM B exchange rates.The empirical analysis proceeds based on DCC-GARCH and VEC models with the data of VIX,VDAX and both onshore and offshore RM B spot and forward exchange rates between September 2012 and October 2016.The study shows that there exist dynamic limited correlations between international financial markets and pertinency of onshore and offshore RM B exchange rate.Exchange rate system reform on 811 has smaller effects on spot market than on forward market.Difference of forward exchange rates strongly impact on difference of spot exchange rates.Finally,this paper suggest steadily implementing RM B exchange rate ＂dual price system ＂,strengthening supervision to offshore market from impacts of international markets,and pushing forwards harmonious developments of onshore and offshore RM B markets.
出处
《财贸研究》
CSSCI
北大核心
2017年第3期50-62,共13页
Finance and Trade Research
基金
国家社科基金项目"人民币国际化战略下货币竞争与危机防范对策研究"(16BGJ004)
山东省高校人文社科研究计划项目"金融危机对境内外人民币汇率相关性的影响研究"(J16WE20)
关键词
国际金融市场
离岸市场
在岸市场
汇差
international financial markets
offshore market
onshore market
exchange rate disparity
