境内外人民币汇率动态信息份额研究：兼论人民币定价权归属

Dynamic Information Share of the Onshore-Offshore RMB Exchange Rate and RMB Pricing Power Attribution

本文基于分位数回归信息份额模型,使用2011年6月27日-2018年2月28日在岸和离岸市场人民币汇率,对境内外人民币汇率的动态信息溢出效应进行研究,以识别人民币定价权归属。研究发现,在岸和离岸市场信息份额溢出具有动态性。全样本情况下,离岸市场约在3/5分位数对上表现出对在岸市场的信息溢出,离岸市场并不拥有绝对的定价权。"8·11"汇改前,在岸市场在1/3分位数对上表现出对离岸市场的引导;汇改后,离岸市场表现出绝对的价格引导关系,在岸市场定价权削弱,但央行的汇率干预措施提升了在岸市场的汇率定价权。政策制定者应密切关注定价权的动态变化,通过市场建设、预期管理和风险管理等措施,牢牢把握人民币汇率定价权。

Based on the quantile information share model, this paper studies the dynamic information spillover effects of the onshore-offshore RMB exchange rates and RMB pricing power attribution using the onshore-offshore RMB exchange rate from June 27, 2011 to February 28, 2018. The empirical results show that the information share in the onshore-offshore markets is dynamic. Estimated with the full sample, the offshore market shows information spillovers on the onshore market in 3/5 quantile pairs, but the offshore market does not have the absolute pricing power. Before the" 8·11" exchange reform, the onshore market contributes more information in 1/3 quantile pairs. The offshore market started to play an absolutely dominate role in the relationship between the two markets after the exchange rate reform, while the pricing power of the onshore market was weakened. The exchange rate interventions of the central bank have increased the pricing power of the onshore market.Policy makers should pay close attention to the dynamic changes in pricing power, and enhance the pricing power of the RMB exchange rate through measures such as market construction, expectation management and risk management.