人民币与亚洲主要货币汇率波动溢出效应研究——对在岸人民币和离岸人民币的考察

Research on Spillover Effects of Exchange Rate Volatility Between RMB and Asian Major Currencies:An Investigation on Onshore and Offshore RMB

近年来,随着中国与其他亚洲经济体经贸合作的不断深化和人民币国际化的快速发展,人民币与其他亚洲货币汇率的联系逐渐增强。本文运用溢出指数方法,从在岸和离岸人民币出发,较全面地考察人民币与亚洲主要货币汇率之间的波动溢出效应及其时变特征,结果发现:在岸和离岸人民币与每种亚洲主要货币汇率之间均存在明显的波动溢出效应,相较在岸人民币,离岸人民币与其他亚洲货币汇率的波动溢出效应更强,并具有更强的区域影响力;随着在岸人民币汇率形成机制改革的推进和离岸人民币市场的快速发展,上述波动溢出效应有所上升,在岸和离岸人民币在亚洲外汇市场中日益发挥信息主导作用。

In recent years,with the deepening of economic and trade cooperation between China and other Asian economies and the rapid development of RMB internationalization,the links of exchange rates between RMB and other Asian currencies have gradually strengthened.Based on the method of spillover index,this paper makes a comprehensive study of the volatility spillover effect and its time-varying characteristics between two kinds of RMB and major Asian currencies exchange rates.The results show that:there are obvious volatility spillover effects between the onshore and offshore RMB and each Asian currency.Compared with onshore RMB,offshore RMB has stronger links with other Asian currencies and stronger regional influence;With the promotion of the reform of the formation mechanism of the onshore RMB exchange rate and the rapid development of the offshore RMB market,the volatility spillover effects have been enhanced,and onshore and offshore RMB have increasingly played information guiding roles in Asian foreign exchange markets.