摘要
基于前人研究,笔者构建DCC-GARCH模型克服恒定联动系数的局限性,实证研究人民币在岸离岸汇率的非线性动态联动关系,发现在岸离岸汇率间存在持久、显著的联动关系,且联动系数具有长期记忆性和动态时变性。在此基础上,构建SVAR模型实证研究人民币在岸离岸汇率联动性的影响因素,发现在岸离岸市场的风险偏好差异、汇率差异、利率差异均对其联动效应有负向影响,差异越大在岸离岸汇率联动系数越小;而以"811"汇改为代表的人民币定价机制改革则能显著提高在岸离岸汇率的联动性。据此,提出充分利用在岸离岸汇率联动性引导离岸人民币预期、深化利率市场化改革实现资金价格市场化定价、多元化外汇市场交易类型促进汇差收敛、主动掌握人民币定价权、完善人民币汇率形成机制等政策建议。
Based on previous studies, this paper constructs a DCC-GARCH model overco tations of Constant Interaction Coefficient to study the nonlinear dynamic linkage between CNY ming the limi- and CNH. We find that the linkage is lasting and significant, and the linkage ratio has the long memory and dynamic time- varying characteristics. On this basis, we construct the SVAR model to test the affecting factors of the linkage, and we find that the differences in risk appetite, exchange rate and interest rates between onshore and offshore markets have a negative impact on the linkage, in particular, the greater the differences are, the smaller the linkage coefficient is. However, the ＂811＂ reform of RMB pricing mechanism could improve the linkage sig- nificantly. Then we put forward the relevant policy recommendations such as to make full use of the linkage to guide the offshore RMB expected, to deepen the reform of interest rate marketization to realize market pricing of capital price, to diversify the foreign exchange market transactions to promote convergence, to controll the RMB pricing by strengthening interconnection between CNY and CNH, and to improve the exchange rate for- mation mechanism and so on.
出处
《中央财经大学学报》
CSSCI
北大核心
2016年第12期37-44,共8页
Journal of Central University of Finance & Economics
关键词
人民币汇率
在岸离岸联动关系
影响因素
实证检验
RMB exchange
The linkage between onshore market and offshore market
Factors
Em-pirical test
