人民币离岸市场与在岸市场汇率的动态相关性研究

The Empirical Study on Dynamic Correlation of Offshore and Onshore RMB Exchange Rate

论文主要检验了人民币在岸市场(CNY)与香港人民币离岸市场(CNH)以及人民币无本金交割远期外汇市场(NDF)之间汇率波动性的动态相关关系。根据人民币离岸市场发展的标志性事件将样本区间分为四段,采用日度数据,利用DCC-MVGARCH模型研究三个市场日汇率数据之间的动态相关关系,研究结果发现:三个市场相关程度不断增强,信息传递较快;2009年7月1日前CNY市场与CNH市场汇率波动率的相关系数较低且规律性不强;2009年7月2日至2010年7月19日,受国际金融危机的影响,人民币汇率稳定不再升值,其相关系数接近于0;2010年7月20日至2011年6月27日汇率波动性的相关性逐渐增强,表明人民币国际化的影响逐渐加大。2011年6月28日至2012年12月24日间汇率波动的相关性显著增强,这说明人民币不同市场之间的信息溢出程度加强,境内外市场融合程度不断提高。

The paper empirically examines the onshore-offshore linkages of the RMB using recently developed multivariate GARCH techniques.Based on DCC-MVGARCH model analyses,it tests the dynamic correlation among the CNY exchange rate,CNH spot exchange rate and NDF forward exchange rate.In this empirical test,it carries out the estimations over the period August 23,2006-December 24,2012.To allow for the structural break associated with the development of RMB offshore market,paper divides the data into four subperiods.By calculating the variance equation of the three markets,it gets the time varying correlations that measuring the volatility spillover effect among different markets.The empirical results show that there are high interactions among the three markets and information transmission is strong and rapid,the interactions between RMB onshore market and offshore market are becoming stronger after July 19,2010,and significantly strengthened after June 27,2011.It indicates that the internationalization of the RMB is strengthening and the integration between different markets is deepening.