香港离岸人民币市场与在岸人民币市场汇率之间的关联性研究

财经论丛 ›› 2017, Vol. 33 ›› Issue (8): 44-54.

香港离岸人民币市场与在岸人民币市场汇率之间的关联性研究

翟晓英¹, 于珺²

1.山西大学管理与决策研究所,山西太原 030006
2.西安交通大学金禾经济研究中心,陕西西安 710049

收稿日期:2016-11-20 出版日期:2017-08-10 发布日期:2017-08-10
作者简介:霍晓英(1972),女,山西翼城人,山西大学管理与决策研究所副教授,博士;于蒂(1991),女,山西运城人,西安交通大学金禾经济研究中如博士生。
基金资助:
山西省高校人文社科重点研究基地项目(2015304);山西省回国人员留学基金资助项目(2016018);教育部人文社科基金资助项目(14YJA790034)

A Study on the Relevance between Spot Exchange Rate of Onshore RMB Market andSpot Exchange Rate of Hongkong Offshore RMB Market

ZHAI Xiaoying¹, YU Jun²

1.Institute of Management and Decision, Shanxi University, Taiyuan 030006, China
2.Jinhe Center for Economic Research, Xi'an Jiaotong University, Xi'an 710049, China

Received:2016-11-20 Online:2017-08-10 Published:2017-08-10

摘要/Abstract

摘要：

本文创新性地构建了由在岸人民币市场即期汇率(CNY)、香港离岸市场人民币即期汇率(CNH)、境外远期无本金交割市场6个月期汇率(NDF6)及1年期汇率(NDF12)、在岸远期6个月期汇率(DF6)及1年期汇率(DF12)组成的人民币汇率系统。然后,运用单位根检验、协整检验、Granger因果检验和GARCH模型等分别从平稳性、协整性、报酬溢出效应和波动溢出效应等方面对人民币汇率系统内的在岸即期汇率、离岸即期汇率、在岸远期汇率和离岸远期汇率之间的关联性进行了实证研究。研究发现,CNH对CNY存在报酬溢出效应,二者之间存在双向的波动溢出效应;CNH、CNY、NDF6和DF6间的关联性可能大于CNH、CNY、NDF12和DF12间的关联性。

关键词: 香港离岸人民币市场, 在岸人民币市场, 即期汇率, 远期汇率, 溢出效应

Abstract:

This paper establishes a RMB exchange rate system including spot exchange rate of onshore RMB market (CNY), spot exchange rate of Hongkong offshore RMB market (CNH), forward rate in non deliverable forward market over 6 months and 1 year (NDF6 and NDF12)& forward rate in the onshore market over 6 months and 1 year (DF6 and DF12). In the empirical studies, we use unit root test, cointegration test, Granger causality test and MVGARCH model respectively for stationarity, cointegration, Granger causality, volatility spillover effect and other aspects to test the dynamic relationship among different exchange rates. We conclude that CNH has a compensation spillover effect on CNY, and there exists a two-way volatility spillover effect between CNH and CNY, and the relevance among CNH, CNY, NDF6, DF6 may be greater than the relevance among CNH, CNY, NDF12, DF12. At last, based on these conclusions, we proposes some suggestions.

Key words: Hongkong Offshore RMB Market, Onshore RMB Market, Spot Exchange Rate, Forward Rate, Spillover Effect

中图分类号:

F822.0

翟晓英, 于珺. 香港离岸人民币市场与在岸人民币市场汇率之间的关联性研究[J]. 财经论丛, 2017, 33(8): 44-54.

ZHAI Xiaoying, YU Jun. A Study on the Relevance between Spot Exchange Rate of Onshore RMB Market andSpot Exchange Rate of Hongkong Offshore RMB Market[J]. , 2017, 33(8): 44-54.

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