境内外人民币汇率价格关系的定量研究

A Quantitative Research on the Relationship among Onshore Spot Exchange Rate,Offshore Spot Exchange Rate and Offshore NDF Rate

本文首次系统地总结了CNY市场、CNH市场以及NDF市场三个不同人民币外汇市场之间的相互联系,并创新性地用AR-GARCH模型等定量的方法检验三个市场的联动关系。实证结果表明:CNY市场对CNH市场的价格有引导作用,CNY市场仍然具备人民币汇率定价的主动性;NDF市场对CNY市场、CNH市场的价格前瞻性减弱,相反CNY市场和CNH市场的价格会对NDF市场的价格产生影响。基于以上结论,本文认为应该进一步发挥香港离岸人民币市场的价格发现作用,与此同时,在境内人民币汇率形成机制改革中,应该更加注重市场因素,参考一篮子货币进行调节,提高人民币汇率弹性。

This paper systematically summaries the linkages among the CNY, CNH and NDF market, and inno- vatively uses quantitative method to test the relationship within the three markets. The results indicate that： first, CNY markets guide the price in CNH markets, so CNY markets still dominant the pricing of RMB; sec- ondly, NDF prices are forward -looking indicators for CNY markets and CNH markets, and the central parity of RMB has been integrating more market factors. Based on the results above, we suggest that the central bank should further exert the price discovery role of the CNH markets, and moreover, during the improvement in the RMB exchange rate regime, should focus more on market factors, enhance the exchange rate flexibility with the reference to a basket of currencies.