基于CNH市场建立前后数据的境内外人民币汇率联动分析

An Analysis of Onshore and Offshore RMB Exchange Rate Linkage Based on the Data before and after the Establishment of CNH Market

2010年8月,香港离岸人民币CNH市场正式诞生,使之与人民币汇率境内CNY市场、境外NDF市场一起形成了人民币汇率的多元市场格局,人民币汇率在三地市场间的相互影响也越来越受到关注,在此背景下研究境内外人民币的汇率联动显得尤为必要。为此,选取2010年1月1日至2014年6月30日的CNY即期交易价、CHN即期交易价、境外无本金交割人民币一个月和一年期远期交易价(non-deliverable forward,NDF1M,NDF1Y),以2010年8月23日香港离岸市场建立日和2012年12月31日作为时间节点,将人民币汇率的变动分为三个阶段,通过协整检验、格兰杰因果检验以及脉冲响应分析,衡量CNH市场建立前后境内外人民币汇率的互动性,其实证结果表明,在CNH市场建立前,CNY即期汇率对NDF1M有引导关系;在CNH市场建立后,CNY和CNH市场之间的汇率价格信息传导紧密,NDF市场对CNY市场的影响度随着时间的推移经历了先减弱后增强的态势,NDF1Y对CNY市场的影响程度比NDF1M更强。总之,香港离岸人民币CNH市场的建立,使三地市场人民币汇率的互动性越来越强。

In August 2010,Hong Kong's offshore RMB market,namely CNH market,was officially born,which makes a diverse RMB exchange rate market structure together with onshore RMB exchange rate( CNY) market and offshore non-deliverable forward( NDF) market. Due to the fact that the interaction of RMB exchange rate between these three markets attracts more and more attention,the research on the linkage relation of onshore and offshore RMB exchange rate under this background is of great significance. This paper selects RMB exchange rate against US dollar of CNY,CNH,NDF1 M and NDF1 Y from January 1,2010 to June 30,2014. Taking the establishment date of CNH market,August 23,2010,and December 31,2012 as nodes,three stages are divided. Using co-integration test,Granger causality test and impulse response function,the interaction relationship between onshore and offshore RMB exchange rate before and after the birth of CNH market is measured. The empirical results show that before the establishment of CNH,CNY is Granger cause of NDF1 M,after that,close information transmission between CNY and CNH is existing,and the impact of NDF1 Y on CNY goes through the trend from decreasing to increasing. In short,the birth of CNH market makes RMB exchange rate in three markets more and more interactive.