人民币在岸与离岸市场之间的波动溢出效应及时变相关性研究——基于“8.11”汇改前后数据

The Spillover Effects and Time Varying Correlations Between Onshore RMB and Offshore RMB Exchange Rate Market:Based on the Data about Before and After the "8.11" Exchange Rate

人民币国际化离不开离岸市场的推动,经过几次汇改,中国逐步增强了汇率形成的市场机制,最近一次汇改是在2015年8月11日,俗称"8.11"汇改,这次汇改使人民币中间价更有弹性且更市场化。以"8.11"汇改为分界点,分别通过格兰杰因果检验以及DCC-MVGARCH-BEKK模型进行实证研究,得出以下结论:第一,汇改对于人民币中间价的定价作用提升并不强,反而在汇改后离岸市场对于其定价作用增强,主要是由于人民币中间价独立性减弱,导致市场机制更加成熟的离岸市场对其影响增强;在岸即期市场和无本金交割远期市场在汇改后仍具有一定的定价权。第二,汇改使人民币在岸市场对于离岸市场的波动溢出效应增强,离岸即期市场在汇改后对在岸市场的波动溢出效应减弱,而无本金交割远期市场对在岸即期市场在汇改前后均具有较强的波动溢出效应。第三,汇改使人民币在岸与离岸市场之间的波动传导效应更加稳定,人民币在岸市场与离岸市场之间的时变性均较汇改前增大。

The internationalization of RMB depends on the promotion of offshore market.China gradually strengthens the market mechanism about the exchange rate after experiencing few exchange rate reformations.The recent exchange rate reformation happened in August 11st,2015,which is called ＂8.11＂ exchange rate reformation,and this reformation makes China＇s exchange rate parity more elasticity and marketization.This paper regards the ＂8.11＂ exchange reformation as cut-off point and uses Granger causality test and DCC-MVGARCH-BEKK model to the empirical study.The conclusions are as follows：Firstly,the exchange rate reformation is not strengthen the pricing power about exchange rate parity.Therefore,the offshore exchange rate market＇s pricing power to exchange rate parity is much stronger than before the exchange rate reformation.The onshore spot exchange rate market and Non-deliverable Forwards market still has pricing power.Secondly,exchange rate reformation strengthens the onshore exchange rate market＇s volatility spillover effects to offshore exchange rate market,especially to the exchange rate parity.The offshore spot exchange rate market＇s volatility spillover effect is weaker than before the exchange reformation.Non-deliverable Forwards market has volatility spillover effects whether the exchange reform or not.Thirdly,the wave conduction effect between offshore and onshore exchange market is much more stable because of the exchange reformation.The time-varying between offshore and onshore exchange rate market is much greater than before the exchange rate reformation.