人民币国际化背景下我国内地与香港人民币汇率定价关系实证研究

Empirical Study on the RMB Exchange Rate Pricing Relations between China's Mainland and Hong Kong under the Background of RMB Internationalization

本文采用2011年以来的数据,通过MGARCH-BEKK计量模型分析了人民币国际化背景下境内人民币即期汇率、香港人民币即期汇率、远期汇率、NDF之间的信息传导和相互影响关系。研究结果表明,境内人民币即期市场仍然掌握着全球人民币汇率定价的主动权,其对香港人民币即期汇率、远期汇率存在报酬溢出效应,对香港远期汇率市场存在单向波动溢出效应,受NDF的影响有所减弱;香港人民币即期汇率、远期汇率、NDF之间的相互影响关系较强,信息传递较快,香港远期汇率对NDF存在单向波动溢出效应,即期汇率、远期汇率的市场影响力在增强,NDF的市场影响力在减弱,香港在各离岸人民币市场中定价能力较强。为此,要加快推进境内人民币汇率形成机制改革,进一步完善香港人民币汇率定价体系,推进人民币国际化进程。

Using the latest data since 2011, the paper analyzes lhe interactions and information transmission between CNY spot, CNH spot, CNH forward and NDF by the econometric models under the background of RMB internationalization. The research results show that CNY spot still has the initiative of RMB pricing all over the world, there is income spillover effect of CNY spot to CNH spot and CNH forward, and volatility spillover effect of CNY spot to CNH forward, the influence of NDF on CNY spot is not so strong as before, there are high interactions between CNH spot, CNH forward and NDF, the information transmission is rapid, there is volatility spillover effect of CNH forward to NDF, the market influence of CNH spot and CNH forward is hecoming stronger, while the influence of NDF is becoming weaker, the RMB pricing power of Hong Kong is stronger than other RMB offshore markets.