人民币汇率市场动态传导效应研究--基于信息溢出的视角

Research on the Dynamic Transmission Effects of the RMB Exchange Rate Market:Based on the Perspective of Information Spillover

通过构建时变信息溢出指数,分析了在岸人民币即期、远期市场和离岸人民币即期、远期市场的动态传导效应。研究发现:整体而言,市场信息传导较快,离岸人民币汇率引导在岸人民币汇率。从时变性来看,"811汇改"后汇率市场一体化程度加深,离岸人民币即期、远期汇率价格引导性均上升,但对在岸远期的净引导性下降,在岸市场则呈现即期汇率价格引导性减弱、远期增强的非对称性效应,在岸远期对在岸即期的净引导性上升、价格功能增强。市场性方面离岸和在岸市场均有所提高。当汇率在宏观政策中的目标性为"保汇率"时,一体化程度、市场性、价格引导性均震荡下降,但对在岸市场影响较大。

This paper analyzes the dynamic transmission effects of onshore RMB spot and forward markets and offshore RMB spot and forward markets by constructing time-varying information spillover index. The result shows that market information transmission is vary fast on the whole, and the offshore RMB exchange rate leads the onshore RMB. From the perspective of time-varying, the integration of exchange rate markets has increased after the "8.11 exchange rate reform", and the price guidance of both the offshore RMB spot and forward exchange rates have risen, while the net guidance of the onshore RMB forward exchange rate has decreased. The onshore market shows asymmetric effects that the price guidance of the spot exchange rate is weakened and the forward is enhanced. The net guidance of the onshore forward to the onshore spot has risen, and the price guidance has been enhanced. The marketability of both the offshore and onshore RMB exchange rates has been improved. When the purpose of exchange rate in macro-policy is to "protect the exchange rate", the integration, marketability and price guidance will have shocking decline, with greater impact on the onshore market.