人民币离岸与在岸汇率差异及其波动研究

Research on the CNH-CNY Differential and Its Volatility

文章通过建立基本的GARCH模型和扩展的GARCH模型,探讨了市场基本面、全球金融市场环境以及相关政策等因素对人民币离岸和在岸市场的定价差异的影响。实证结果表明,人民币离岸和在岸市场定价差异是多方面因素共同作用的结果,两个市场流动性差异和参与者预期差异对于人民币离岸和在岸定价差异及其波动会产生显著影响,全球风险厌恶情绪上涨和美元升值会增大人民币在两个市场的定价差异及其波动。在政策方面,允许人民币资本跨境流出的措施会明显减少两个市场的定价差距,反之亦然。在岸市场人民币兑美元中间价形成机制改革显著地扩大了人民币两个市场的差异,加剧了其波动。

Using extended GARCH models,this article explores the role of fundamentals,global financial market conditions and policies related issued by PBOC and HKMA,in driving pricing differential between onshore and offshore exchange rates. The empirical results show that,there are factors affecting the pricing differential between onshore and offshore exchange rates. Differences in the liquidity and expectations of the two markets play an important role in explaining the level of differential and its volatility. Rises in global risk aversion and appreciation of US dollar tend to increase the differential and its volatility. On the policy front,measures permitting cross-border RMB outflows have a particularly discernible impact on reducing the volatility of pricing gap between the two markets,and vice versa. The RMB central parity rate formation mechanism reform significantly expands the pricing differentials and its volatility.