摘要
在人民币国际化进程中,离岸人民币市场规模扩大,成为人民币国际化的桥头堡和试验田。采用2012年到2020的时间序列数据,以2015年“8.11”为界,采用非线性格兰杰因果检验和DCC-MVGARCH-BEKK模型,从报酬溢出和波动溢出两个视角,实证检验了境内外人民币汇率的非线性联动机制。研究表明,“8.11”汇率改革后,在岸人民币即期汇率、离岸人民币即期汇率和离岸人民币无本金交割远期汇率的动态相关性和时变性增加,均值溢出效应和波动溢出效应增强。
Hong Kong’s Renminbi offshore market,also widely known as the CNH market,has developed rapidly since 2010,following a series of landmark policies that laid its foundation.Both CNY rate and CNH rate are the pricing of RMB,but in different markets,they could move separately.What is the linkage between these exchange rates?To examine the linkages of exchange rates between onshore and offshore markets,we employs a nonparametric statistic to test for nonlinear Granger causality in the return spillovers effect,and we also employs the DCC-MVGARCH-BEKK model to test the volatility spillovers effect.We find that developments in the offshore spot rates exert an influence on spot onshore rates,such as the time-varying dynamic correlation,return spillover effect,and volatility spillover effect.The relationship among CNY market,CNH market,and NDF market have been significantly enhanced after the“8.11”exchange rate reform.
作者
王凯
庞震
WANG KAI;PANG ZHEN(Marxism school Xi’dian University,Xi’an Shaanxi 710071,China)
基金
国家社科基金一般项目:人民币国际化的测度、福利效应与策略选择研究(16BJL092)。
