境内外人民币外汇市场价格引导关系的实证研究——基于香港、境内和NDF市场的数据

Research on the Relationship of Onshore and Offshore RMB Foreign Exchange Market——Data from Hong Kong and China's Mainland

2010年以来,人民币国际化进程加快,香港人民币可交割外汇市场发展迅速,成为人民币离岸市场的重要组成部分。香港和境内可交割人民币外汇市场以及NDF市场之间是否相互影响,存在什么样的影响路径,是人民币国际化过程中值得研究的一项重要内容。本文采用最新数据,通过构建VAR模型,运用协整检验、格兰杰因果关系检验、脉冲响应函数和方差分解等计量手段,对香港人民币即期价格和境内人民币即期价格之间的关系,香港人民币可交割远期、境内人民币远期和NDF价格之间的引导关系进行了实证分析。结果表明,现阶段境内人民币即期价格引导香港人民币即期价格,而香港的人民币可交割远期价格对境内远期价格开始产生一定的影响,而NDF市场对香港和境内人民币价格存在较强的影响。

As the process of RMB internationalization has been accelerating since 2010, CNH market has been growing rapidly. It is important during the RMB internationalization that how CNH, CNY and NDF market influence each other. Using the latest data, we analyzed the relationship between CNH spot, CNY spot, CNH forward, CNY forward and NDF by VAR, cointegration test, granger causality test, impulse response and variance decomposition. The results show that CNY spot guides CNH spot, while CNH deliverable forward price already has some influence on CNY forward price, and NDF market influences both CNH market and CNY market.