人民币在岸与离岸市场汇率的非对称溢出效应——基于VAR-GJR-MGARCH-BEKK模型的经验证据

The Asymmetric Spillover Effect between the Onshore and Offshore RMB Exchange Rate——Empirical Evidence from VAR-GJR-MGARCH-BEKK Model

本文采用VAR-GJR-MGARCH-BEKK模型,实证检验了在岸与离岸人民币即期汇率、远期汇率、即期与远期汇率间的均值溢出效应、波动溢出效应和非对称效应。结果表明:(1)无论是在岸与离岸即期汇率、远期汇率,还是即期汇率之间、远期汇率之间,以及即期与远期汇率之间,其波动均表现出一定的非对称效应;(2)在岸与离岸市场上不同交易期限合约汇率之间也表现出一定的均值溢出效应和波动溢出效应,且除在岸即期汇率对离岸即期汇率的均值溢出效应大于后者对前者的溢出效应外,其他各交易期限汇率之间的均值溢出效应均表现为离岸汇率大于在岸汇率;(3)综合考察在岸与离岸汇率间的波动溢出效应和非对称效应,发现离岸汇率波动对在岸汇率波动的影响大于后者对前者的影响。因此,投资者和政策制定者在决策时不仅要考虑在岸与离岸市场上不同交易期限合约汇率间的均值溢出和波动溢出效应,尤其应注意非对称效应对汇率波动可能带来的放大作用。

Using a VAR-GJR-MGARCH-BEKK model, this paper empirically tests the mean spiUover effect, volatility spillover effect and asymmetric effect among the onshore and offshore RMB spot rates, forward rates, and spot and forward rates. The results show that： （ 1 ） no matter for the onshore spot and forward rate or the offshore spot and forward rate, or the spot rates between the onshore and offshore markets and the forward rates between the two markets, as well as the spot and forward rates between the two markets, the fluctuations show some asymmetric effect; （2） the exchange rates of different contracts with different terms between the onshore and offshore markets also show certain mean spillover effect and volatility spillover effect, and in addition the mean spillover effect of onshore spot rates on offshore spot rates is greater than the other way round, and the mean spillover effect between each other exchange rate shows that the offshore rates are greater than the onshore rates; （3） a comprehensive exploration of the volatility spillover effect and asymmetric effect between onshore and offshore rates shows that the impact of offshore rate fluctuations on onshore rate fluctuations is greater than the other way round. Therefore, investors and policy makers should not only consider the mean and volatility spillover effects of different foreign exchange contracts with different terms between the onshore and offshore markets, but also should especially pay attention to the possible amplification effect on the RMB exchange rate fluctuations brought about by the asymmetric effect.