汇率预期波动视角下境外人民币需求动态变化——基于离岸人民币市场的研究

The Dynamics of Overseas RMB Demand from the Perspective of Exchange Rate Expectation—Based on the Research on Offshore RMB Market

本文构建境外人民币需求影响因素理论模型,并借助协整检验、误差修正模型与马尔科夫区制转换向量自回归模型,实证检验各类可能因素对以离岸市场为代表的境外人民币需求动态变化的影响效应。研究结果表明,人民币汇率预期波动对境外人民币需求产生较强的长期影响效应,且当人民币汇率预期处于不同波动区制状态下,各类影响因素对境外人民币需求变化会产生明显的非对称性冲击。我国推进人民币国际化进程应关注人民币汇率预期波动,并通过提高人民币汇率市场化和灵活性程度,对人民币汇率预期的形成加以合理引导。

By constructing the theoretical model of overseas RMB demand and using the linear regression and MS-VAR method, this paper analyzes the influence of different factors on the dynamics of overseas RMB demand represented by the offshore market. The results show that RMB exchange rate expectation is a more influential factor of overseas RMB demand in the long run, and there exists evident asymmetric effects of other factors on the changes of overseas RMB demand under different RMB exchange rate expectation regimes. It is necessary to pay attention to the fluctuation of RMB exchange rate expectation in the process of RMB internationalization, and reasonably guide the formation of it with the more marketable and flexible RMB exchange rate mechanism.