人民币汇率价格发现能力影响因素研究

Research on Impact of External Shocks to RMB Exchange Rate Price Discovery——Based the Exchange Rate Price Interaction between RMB onshore & offshore spot and NDF Markets before and after Financial Crisis

金融危机使得人民币国际化受到了极大影响。金融危机前后人民币境内即期市场与人民币离岸市场对新信息的不同反应速度和新信息融入不同市场价格中的比例,说明外部冲击对人民币汇率价格发现能力有显著影响。为进一步研究人民币国际化面临的国际外部风险,需要对人民币汇率价格发现能力进行实证研究,因此采用Hasbrouck提出的信息份额模型(I-S模型)分阶段对危机前后人民币即期汇率和人民币NDF汇率数据进行了实证。结果表明,金融危机这一外部冲击引发了人民币汇率价格的发现能力的微妙变化,金融危机前境外人民币NDF市场处于市场价格信息的中心地位,金融危机后人民币即期市场对汇率价格的引导力量逐步加强。这就要求在今后我国金融市场改革和人民币国际化过程中,充分掌握市场影响动向,加强对人民币汇率的有效管控。

This paper first studies the impact of external shocks to RMB exchange rate price discovery ability between RMB onshore & offshore spot and NDF markets before and after financial crisis. Then analyses the RMB spot and NDF foreign exchange rate date before and after the crisis, by using the Information Shore model(I-S model). The results show that RMB offshore NDF market reflects new information more quickly than the spot market and takes on information advantage before financial crisis. In the period of the post-financial-crisis, the price discovery ability of spot market is stronger than before.