人民币在岸离岸市场极端风险溢出研究

The Extreme Risk Spillover of RMB Onshore and Offshore Markets

本文对在岸离岸人民币外汇市场间的极端风险溢出水平进行测度,结果表明:同地区跨品种、同品种跨地区和跨地区跨品种三种情形下各市场间均存在极端风险双向溢出效应,且在岸对离岸的极端风险溢出高于反方向溢出,即期对远期的极端风险溢出大于后者对前者的溢出。此外,各市场间的极端风险溢出效应具有较强的时变性,随汇率政策的调整而不断增强,尤其在"811汇改"后,极端风险溢出水平显著提高。

The authors of this paper measure the extreme risk spillover level between the onshore and offshore RMB foreign exchange markets. The results of the paper show that there are bidirectional extreme risk spillover effects between the markets of the same region cross-species, the same species cross-region and the cross-region cross-species,and the extreme risk in onshore market spilling over to the offshore market is greater than that of the reverse direction;the extreme risk in the spot market spilling over to the forward market is greater than that of the reverse direction. In addition, the extreme risk spillover effects between markets show a strong characteristic of time-varying and increase with the adjustment of exchange rate policy, especially the level of extreme risk spillovers has increased significantly after the＂811 exchange reform＂.