人民币汇率定价权之争——基于在岸-离岸汇率的联动关系

The Argument over the Pricing Power of RMB Exchange Rate——Based on the Interactive Relationship Between Onshore and Offshore Exchange Rates

分别采用DCC-GARCH(1,1)模型和多元TAR模型测算了CNY、CNH和NDF汇率的相关关系,并在升值、贬值和转变三种不同的人民币预期条件下分析了影响这种联动关系的诸多因素。实证结果表明:CNY、CNH与NDF汇率之间存在强烈且持续的相关关系。其中,离岸CNH市场的引导作用最大,NDF市场次之,而在岸CNY市场最弱,未来人民币汇率的定价权有可能会旁落至离岸市场。国际资本市场波动预期和中美利率的差异的外部影响可能是造成此次人民币汇率定价权转移的主要原因。因此,在推进人民币汇率市场化改革的同时应该协调推进人民币利率的市场化改革以防范国际市场的投机行为,否则,汇率改革容易受到利率改革落后和金融监管不到位的掣肘。

By adopting DCC-GARCH（ 1,1） and multivariate TAR threshold model respectively,this article measures the correlations between exchange rates of CNY,CNH and NDF. Then it analyzes factors that impact their dynamic interactive relationships under three anticipated conditions of appreciation,depreciation and transformation. As is shown in the empirical results,there are strong interactive relationships between exchange rates of CNY,CNH and NDF,among which,the guidance effect of the offshore CNH market is the strongest,the NDF market takes second place,and the onshore CNY market is the last. There is the possibility that the pricing power of RMB exchange rate can be handled to the offshore market. The external influencing factors,such as the expectation of fluctuation in international capital market and the difference in the exchange rates between China and America,can be the main reasons for the transfer of the pricing power of RMB. Therefore,when a market-oriented reform of RMB exchange rate is being promoted,the same reform should be carried out in RMB interest rate,in addition to efforts in preventing international market speculation. Otherwise,the exchange rate reform is likely to be impeded by the tardy interest rate reform and insufficient financial regulation.