人民币在岸与离岸汇率的非线性动态关系

Nonlinear dynamic relationship between the onshore and offshore RMB exchange rates

研究了在岸人民币汇率和离岸人民币汇率的动态关系.基于2012-05-02~2020-04-03期间在岸人民币即期汇率和离岸人民币即期汇率的日度数据,使用动态递归和动态滚动Granger因果检验方法进行实证分析.结果表明,在岸人民币汇率和离岸人民币汇率在样本期内均存在显著的非线性特征。此外,离岸价格在样本期间内一直引领在岸价格;然而,在岸价格对离岸价格的引领作用具有明显的阶段性特征,研究结果有助于正确认识离在岸外汇市场风险,推动人民币国际化进程。

This paper examines the dynamic relation between the onshore and offshore RMB exchange rates.The recursive and rolling window nonlinear Granger causality tests are used based on the daily data from 2012-05-02 to 2020-04-03.The result shows strong evidence of nonlinear dependence in both exchange rate series.Furthermore,there exists significant nonlinear Granger causality from offshore RMB exchange rates to onshore RMB exchange rates through the whole sample period.However,the nonlinear Granger causal relations from the onshore RMB exchange rates to offshore RMB exchange rates differ across different sub-periods.The results can help people better understand the risks in the onshore and offshore markets and promote RMB internationalization.