人民币兑美元在岸离岸汇差波动的时变特征分析与混频宏观影响因素的研究

Study on Time-varying Characteristics and Mixed-frequency Macro-Influencing Factors of Onshore and Offshore RMB Exchange Rate Spreads

本文系统研究人民币兑美元在岸离岸汇差的波动及影响因素,利用2011年6月至2019年1月的月度和日度混频数据,通过构建GARCH(1,1)模型和ADL-MIDAS模型来分别研究汇差波动的时变特征和混频宏观影响因素。研究发现中国香港人民币资金存量、全球投资者风险偏好以及人民币升贬值预期与该汇差是负向关系,中美利差和该汇差是正向关系,此为主要因素;外汇储备、国内宏观经济景气指数以及人民币两岸汇差的滞后一阶与人民币在岸离岸汇差呈正向关系,此为次要因素。基于以上结论,本文提出增强离岸市场流动性,灵活运用中美利差对汇率的调节作用,推动离岸市场发展的同时也要强化对该市场的监管以及增强人们对人民币的信心等对策建议。

This paper systematically studies the fluctuation and influencing factors of onshore and offshore RMB-US dollar exchange rate spreads,using monthly and daily mixing data from June 2011 to January 2019 to build GARCH(1,1)model and ADL-MIDAS model in order to study the time-varing characteristics and mixed-frequency macro-influencing factors of onshore and offshore RMB exchange rate.The study finds that the RMB capital stock in Hong Kong,the risk preference of global investors and the expectation of RMB appreciation and depreciation are negatively related to the spreads,while the interest spread between China and the United States are positively related to it,which is the main factor.Foreign exchange reserves,domestic macroeconomic prosperity index and the lagging first order of the RMB cross-strait exchange rate gap are positively related to the spreads,which is the secondary factor.Based on the above conclusions,this paper puts forward some countermeasures and suggestions,such as enhancing the liquidity of offshore market,flexibly using the adjustment role of interest rate spreads between China and the United States,promoting the development of offshore market,strengthening the supervision of the market and enhancing people’s confidence in the RMB.