风险逆转、金融市场波动与人民币避险属性研究——基于分位数回归模型的分析

Research on Risk Reversion, Financial Market Volatility and the Hedge Attribute of RMB——Analysis based on quantile regression model

全球新冠疫情暴发以来,人民币是否具有避险属性引发关注。本文将反映投资者避险情绪的恐慌指数以及货币期权风险逆转共同纳入货币避险属性的研究中,通过分位数回归模型实证检验全球金融市场动荡中在岸人民币、离岸人民币的避险属性。结果发现:在岸人民币具有较高的避险属性,在新冠疫情期间可有效规避全球汇率风险,在欧债危机期间可有效规避新兴市场经济体货币的汇率风险。进一步分析发现:在岸人民币和离岸人民币避险属性存在显著差异,在岸人民币避险属性更强。基于此,应持续推进稳增长措施,促进经济高质量发展;建设有深度、广度的在岸和离岸人民币市场;深化外汇市场改革,有效维护外汇市场稳健运行;借双边、多边合作机制助推人民币在全球金融安全网络中的影响力;完善跨境资本流动监督体系,防范跨境资本异常流动风险。

Since the global COVID-19 outbreak,whether the RMB has the nature of risk aversion has aroused concern.In this paper,the panic index reflecting investors’risk aversion sentiment and the reversal of currency option risk are both included in the study of currency risk aversion attribute,and the risk aversion attribute of onshore and offshore RMB in the global financial market turbulence is empirically tested by quantile regression model.The results show that the onshore RMB has a high risk aversion attribute,which can effectively avoid the global exchange rate risk during the COVID-19 epidemic and the exchange rate risk of emerging market economies during the European debt crisis.Further analysis shows that there is a significant difference in the hedging attribute between onshore and offshore RMB,and the hedging attribute of onshore RMB is stronger.Based on this,we should continue to promote measures to stabilize growth and promote high-quality economic development;Build a deep and wide onshore and offshore RMB market;Deepen the reform of the foreign exchange market and effectively maintain the stable operation of the foreign exchange market;Boost the influence of RMB in the global financial security network through bilateral and multilateral cooperation mechanisms;Improve the supervision system of cross-border capital flow and prevent the risk of abnormal cross-border capital flow.