香港离岸即期人民币汇率在境内外汇率关系研究中的作用

The Functions of the Offshore RMB Spot in HK for Testing the Correlation of RMB Spot & Forward between Offshore and Onshore

人民币境内即期与远期和NDF远期之关系研究中频繁出现结论相异的问题。本文认为其中的原因之一,应是境内人民币汇率中间价的央行掌控性质。香港人民币离岸市场的建立,表明人民币汇率形成有了境内即期和远期,以及境外香港离岸即期和NDF远期两个市场。本文采用相关因素分析法对香港离岸即期和境内央行掌控中间价汇率进行分析,分析表明两者不存在长期协整关系,香港离岸市场的自由市场性质成立,因之也就具有与NDF远期进行计量分析的逻辑基础。对香港离岸即期和NDF远期的检验表明,虽然香港离岸即期市场与NDF远期市场具有相关逻辑性,但香港即期目前还无法引导NDF远期市场。

Most of the study which testing the correlation of the RMB spot ＆ forward in home and NDF abroad had difference conclusions. One of the reasons this paper assumption is that the character of the Central parity rate under control by center bank. The establishment of the RMB offshore market shows that it has two markets for setting of the RMB rate： one is the RMB spot ＆ forward in home, the other is the RMB offshore spot and NDF abroad. This paper analysis the correlation between the HKs and the central parity rate with the Factors- Analyzing Method, the outcome of the research indicates that there is no co-integration between HKs and Beijing （s） . If the RMB offshore market in HK is a free market, we can use it for testing the NDF FX. The testing for offshore RMB spot ＆ NDF forward shows that the RMB offshore market has a logic correlation with the NDF market, but HKs does not granger cause NDF1.