人民币离岸与在岸汇率关联性及风险溢出研究——基于Copula-GARCH-CoVaR方法

Research on the Correlation and Risk Spillover of RMB Exchange Rate between Offshore and Onshore: Based on Copula-GARCH-CoVaR Method

基于Copula-GARCH-CoVaR模型,以"8.11"汇改为分界点,对人民币离岸与在岸汇率的关联性及风险溢出效应进行研究,得出结论:"8.11"汇改增加了人民币在岸市场与香港离岸即期市场的关联性,减少了人民币在岸汇率与人民币无本金交割远期汇率之间以及两个离岸汇率市场之间的关联性,说明随着香港离岸市场的发展,人民币无本金交割远期市场趋于边缘化。汇改改变了人民币在岸市场与香港离岸即期市场、人民币无本金交割远期汇率市场之间上下尾相关系数的大小关系,说明汇改使人民币在岸市场与离岸市场之间更容易出现"同涨不同跌",但两个离岸市场之间上下尾相关系数的大小关系并未改变。汇改增加了人民币在岸市场来自国内外的风险,但同时也增加了在岸市场抵御风险的能力。

Based on the Copula - GARCH - CoVaR model and the ＂August 11＂ reform of ex- change rate as the cut - off point, this paper studies the correlation and the risk spillover effect of RMB exchange rate between offshore and onshore, and concludes that the ＂August 11＂ exchange rate reform has improved the correlation between RMB onshore market and the off - shore spot market in Hong Kong, while the correlation between RMB onshore exchange rate and RMB non - deliverable forward exchange rates and the correlation between the two offshore exchange rates are reduced. This shows that with the development of the offshore market in Hong Kong, RMB non - deliverable forward market tends to be marginalized. The reform has changed the upper and tail correlation coefficient between RMB onshore market, the offshore spot market in Hong Kong and the non- deliverable forward exchange rate market, indicating that the exchange rate reform has made RMB onshore and offshore markets are more likely to have ＂the same rise but fall with differ- ent plunge＂. However, the upper and tail correlation coefficient between the two offshore markets has not been changed. The reform has increased the risks of RMB onshore market from both domestic and foreign countries, but also increased the ability of the onshore market to resist risks.