人民币离岸与在岸汇率差异的影响因素分析

Research on the Factors Influencing the Difference between Offshore and Onshore Exchange Rate

本文采用FAVAR模型,从人民币升贬值预期、市场的流动性、市场之间收益率差异以及国际金融市场情绪四个方面对人民币离岸与在岸之间汇差的影响进行了实证研究。结果显示,人民币升贬值预期以及中港之间利差对人民币离岸与在岸之间汇差在短期内均具有相互的引导作用。进一步地,人民币升贬值预期以及市场之间的收益率差异对人民币离岸与在岸之间汇差均具有正向影响,国际市场流动与国内市场的流动对人民币离岸与在岸之间汇差均具有负向影响,市场的波动对人民币离岸与在岸之间汇差具有正向影响,说明人民币并不是投资者们的避险工具。最后指出,国内因素对人民币离岸与在岸之间汇差的解释能力强于国际因素。

In this paper, the FVAR model is used to study the influence of the RMB expectations, the liquidity of the markets, the difference of return rate among two markets and the international financial market sentiment on offshore and onshore exchange rate. The results show that, the RMB expectations and offshore and onshore exchange rate between China and Hong Kong in the short term have a mutual guiding role. Further, the RMB expectations and the difference of return rate among the markets have a positive impact on offshore and onshore exchange rate. The flow of the international markets and domestic markets have a negative impact on offshore and onshore exchange rate. While the liquidity of the markets has a positive impact on offshore and onshore exchange rate, which shows that the yuan is not a hedge tool for investors. Finally, it is pointed out that domestic factors have a better ability to explain the exchange rate of RMB among two markets.