摘要
随着离岸市场的发展、在岸市场的汇率市场化改革的推进,人民币在岸市场汇率与香港人民币离岸市场汇率之间的互动关系也在不断发生变化。因此,本文重点研究CNH汇率与CNY汇率在汇改进程中联动性的动态变化。本文选取了2012年5月2日至2017年2月20日的CNY即期汇率、CNH即期汇率,以两次汇改为时间节点,将人民币汇率数据分为三个阶段,通过协整检验、格兰杰因果检验、脉冲响应以及方差分解来揭示CNY和CNH两个市场汇率的联动性。结果表明:人民币中间价机制改革前,CNH汇率与CNY汇率是互相引导关系;人民币中间价机制改革的一段时间内,离岸市场汇率成为人民币市场价格的主导力量。因此,在未来汇改进程中,预期管理应成为中间价指导受限后央行外汇干预措施的重要形式。坚持汇率市场化改革方向的同时,要选择正确的汇改时机,并且理顺国内金融改革、资本账户开放、人民币国际化的先后顺序。
As the Hong Kong's offshore market scale is extending and onshore Market-oriented exchange rate mechanism is improving,the relationship between the onshore market and offshore market is also changing.This paper mainly analyzes dynamic change of the correlation between the onshore market and offshore market.This paper selects data of CNY and CNH between May 2,2012 and February 20,2017,and divides the data into three stages with the timing of Mechanism Reform of RMB's Exchange Rate.This paper uses the co-integration test,granger causality test,impulse response and variance decomposition to analyze the correlation between CNY and CNH.The result shows that the correlation between the onshore market and offshore market gets stronger.CNH and CNY have the relationship of leading each other before the mechanism reform of RMB's middle price.However,CNH begins to lead CNY after a period of the reform.
出处
《现代财经（天津财经大学学报）》
CSSCI
北大核心
2017年第4期37-50,共14页
Modern Finance and Economics：Journal of Tianjin University of Finance and Economics
基金
广义虚拟经济研究专项2013年度第一批项目(GX2013-1005(Y))
教育部哲学社会科学发展报告培育项目(11JBGD006)
关键词
在岸汇率
离岸汇率
人民币汇改
CNH
CNY
Mechanism Reform of RMB's Exchange Rate
