在岸人民币汇率和离岸人民币汇率的互动

The Chinese Yuan Internationalization Experiment:CNY Rates and CNH Rates

中国2010年在香港开启人民币离岸市场交易,迈出在自由浮动汇率机制下的人民币外汇市场实验的第一步。研究使用向量自回归模型(VAR),分析离岸美元人民币汇率(USD/CNH)和在岸美元人民币汇率(USD/CNY)之间的关系。结果显示,从2010年8月到2019年9月,在岸美元人民币汇率波动和离岸美元人民币汇率波动是互相影响的。在岸市场对离岸市场波动的反馈幅度更大且更直接,而离岸市场对在岸市场波动的反馈幅度小但持续时间更长。这种互相影响关系在2010年至2019年间并未改变,只是在“811”汇改政策出台后,在岸人民币市场对离岸人民币市场的反馈幅度有进一步的扩大。另外,近期中美贸易摩擦对离岸和在岸市场之间的关系没有显著影响。研究发现了中国货币政策和美元兑人民币汇率相关联的证据,而没有发现美国货币政策和美元兑人民币汇率相关联的证据。

Following the 2010 establishment of the offshore renminbi market in Hong Kong,the offshore RMB exchange rate market was launched,which was the first step of the foreign exchange experiment of the Chinese Yuan in the free-floating regime.In this paper,we examine the relationship between the exchange rates(USD/CNH)in the offshore RMB market and the prices(USD/CNY)in the onshore markets by a vector autoregression(VAR)model.We find that the changes in USD/CNH and changes in USD/CNY influence each other mutually from August 2010 to September 2019.The changes in USD/CNH affect changes in USD/CNY more significantly and directly,while changes in USD/CNY influence changes in USD/CNH less but long lasting.The bivariate causality relationship between changes in offshore and onshore markets has no time-varying in our model,while the Chinese August 11th Foreign Exchange Reform enlarges the response of the onshore market to the offshore market.Besides,the recent U.S.-china trade war does not change the relationship between changes in offshore and onshore markets.There is also some evidence of a link between Chinese monetary policies and RMB exchange rates,while the testimony of a relationship between U.S.monetary policies and RMB exchange rates is lack.