异质市场人民币汇率预期的互动关系

The Interaction between RMB Exchange Rate Expectations in Heterogeneous Markets

本文以CNY与CNH外汇市场为研究对象,结合境内外利率市场构建汇率预期变量,以人民币汇率形成机制改革为时间节点,构建VECM模型,研究异质市场人民币汇率预期互动关系。研究发现,境内外人民币汇率预期之间存在显著的互动关系,且以汇改时点为分水岭体现出不同特点。在2014年"3.17汇改"前,境内外人民币汇率预期之间不存在长期均衡关系,汇改后二者存在长期均衡关系。在2015年"8.11汇改"后,境内外人民币汇率预期的长期均衡关系再次发生显著的变化。

The author of this paper uses the CNY and CNH foreign exchange markets as samples, combining the domes- tic and foreign interest rate markets, to construct the variables of exchange ,ate expectation, and takes the reform of the RMB exchange rate formation mechanism as the time mark to construct the VECM model for the research on the interac- tion between RMB exchange rate expectations in heterogeneous markets. It＇s found that there is a significant interaction between Chinese and foreign RMB exchange rate expectations, and the time of the exchange rate reform is a watershed and the interaction shows different characteristics. Before the＂3.17 exchange rate reform＂ in 2014, there is no long-term equilibrium relationship between RMB exchange rate expectations, but the relationship exists after the exchange rate re- form. After the ＂8.11 exchange rate reform＂ in 2015, the long-term equilibrium relationship between Chinese and foreign RMB exchange rate expectations changes greatly again.