人民币离岸市场与在岸市场间循环机制研究——基于卡尔曼滤波在状态空间模型中的应用

Study on the Cycle Mechanism between RMB Offshore and Onshore Market-Based on the Application of Kalman Filter in the State-space Model

随着人民币跨境使用的深入发展,人民币离岸市场迅速成长,对国内宏观经济产生了一定的影响。本文通过实证研究人民币跨境流动对国内宏观经济的影响,从人民币升/贬值预期对离岸市场发展的影响、境外市场人民币自循环不畅和离岸市场缺乏人民币流动性补充安排等三个方面对人民币离岸市场与在岸市场发展过程中存在的问题进行了分析。针对人民币离岸市场与在岸市场发展过程中存在的问题,通过设计人民币离/在岸市场间的循环机制,提出了促进离/在岸市场人民币资金良性循环的建议。

As the cross-border use of RMB further develops, the RMB offshore market has witnessed fast growth, which has a certain effect on the domestic macro-economy. Through an empirical analysis on the influence of cross-border use of RMB on the domestic macro-economy,this paper analyzes the problems lying in the development of RMB onshore and offshore market in three aspects,namely,the impact of expectation of RMB appreciation on the development of external market, the poor circulation of RMB in offshore market and the supplementary arrangement for the lack of RMB liquidity in the offshore market. In view of these problems, this paper proposes suggestions for promoting the virtuous cycle of RMB in both onshore and offshore market by designing a valve control mechanism between the onshore and offshore market of RMB.