人民币汇率价格信息传导机制的实证研究——基于离岸和在岸的远期市场

Empirical Study of the RMB Exchange Rate's Information Flows:Based on the Onshore and Offshore Forward Markets

文章从外汇市场的内外生冲击和交易者风险偏好的角度,实证研究了离岸和在岸的人民币远期市场的价格信息传导机制。结果表明:远期市场间的价格信息传导机制确实存在,主要表现为离岸市场对在岸市场的价格信息传导,且两个离岸市场间的联系十分紧密;同时,这一传导机制易受内外生冲击的影响,即市场内部因素的变化会改变价格信息传导的方向和作用,而外生冲击的影响则视其对市场波动的大小而定;另外,不同的风险偏好对于这一机制的影响主要体现在波动溢出效应上。

Based on the RMB internationalization, this paper empirically investigates information flows among the RMB/Dollar onshore and offshore forward markets with different shocks and participants＇ risk appetites. These findings suggest： 1.The mechanism of information flows exists among the onshore and offshore forward markets, particular the main transmission from offshore forward market to onshore forward market and the linkage between the offshore forward markets;2. The mechanism of information flows among the forward markets is influenced by internal and external shocks, i.e. the direction and function of in- formation flows are changed by the internal factor, but the effect of external shock depends on market fluctuations; 3. The vola- tility spillover effect is led by the different risk appetites.