人民币国际化进程中的风险识别研究——基于在岸和离岸人民币汇差的实证分析

Risk Identification in Renminbi Internationalization——Empirical Analysis of Difference of Onshore and Offshore Exchange Rate

从汇差波动的角度出发,探究了人民币国际化发展进程中,在岸人民币市场和离岸人民币市场的协调发展程度及其潜在风险因素;运用在岸人民币和离岸人民币汇差序列建立GARCH模型,推算得出了近五年来汇差序列的隐含波动率,借以观测其波动特征。研究发现,在大多数时间内,汇差序列呈现稳定波动的特征,但在人民币持续贬值等极端情况下,汇差序列则会表现出异常波动,造成在岸市场和离岸市场汇率失衡,给人民币国际化进程带来不利影响。

This paper studies the correlation of the onshore and offshore RMB markets from the perspective of the difference of exchange rate fluctuations. Moreover, it establishes the GARCH model based on the difference of onshore and offshore RMB exchange rate sequences to calculate the exchange rate fluctuations sequences in nearly five years. Results show that in most of the time, exchange rate sequences stay stable but in some extreme cases, exchange rate sequences showed abnormal fluctuations, causing an exchange rate imbalance between the onshore and offshore markets. And then, it puts forward rele- vant suggestions accordingly.