本文選題：香港離岸人民幣市場 + 人民幣匯率風(fēng)險��； 參考：《山東大學(xué)》2014年碩士論文

【摘要】：改革開放三十多年以來,我國經(jīng)濟(jì)發(fā)展迅速,經(jīng)濟(jì)總量顯著增長,已成為僅次于美國的全球第二大經(jīng)濟(jì)體；與世界經(jīng)濟(jì)的融合程度不斷加深,貨物貿(mào)易進(jìn)出口總額已達(dá)世界第一。然而與此同時,中國的金融市場與發(fā)達(dá)國家相比仍然差距懸殊,與國際金融市場的聯(lián)系也十分有限。在此情況下,大力發(fā)展離岸人民幣市場,全面推進(jìn)人民幣的國際化進(jìn)程,已成為進(jìn)一步促進(jìn)中國經(jīng)濟(jì)持續(xù)發(fā)展,實現(xiàn)資源優(yōu)化配置所不可或缺的重要環(huán)節(jié)。 本文詳細(xì)論述了離岸金融市場形成與發(fā)展的現(xiàn)有理論和相關(guān)概念,并對香港離岸人民幣市場的形成與發(fā)展進(jìn)行了分析與整理。在對香港離岸人民幣市場影響在岸人民幣匯率的相關(guān)研究成果進(jìn)行歸納之后,進(jìn)一步對匯率風(fēng)險與匯率錯位的定義與測度方法進(jìn)行了總結(jié)。 理論基礎(chǔ)方面,基于“三元悖論”,對香港離岸人民幣匯率影響在岸人民幣匯率的傳導(dǎo)機(jī)制進(jìn)行了推導(dǎo),并分析了香港離岸人民幣市場對人民幣匯率風(fēng)險及匯率錯位的影響,同時對人民幣匯率風(fēng)險與匯率錯位關(guān)系的相關(guān)研究進(jìn)行了整理,在此基礎(chǔ)上實現(xiàn)了香港離岸人民幣市場與人民幣匯率風(fēng)險及匯率錯位問題的有機(jī)結(jié)合。 在實證部分,本文選取樣本期為2005年人民幣匯率改革到2013年年底的相關(guān)數(shù)據(jù),分別對香港離岸人民幣市場與人民幣匯率風(fēng)險及匯率錯位的相關(guān)性進(jìn)行了實證檢驗。在具體測算過程中,首先運用ARCH-t模型測度了人民幣匯率的在險價值VaR,再使用向量自回歸方法檢驗了香港離岸人民幣市場與人民幣匯率風(fēng)險的相關(guān)性；在研究人民幣匯率錯位的相關(guān)章節(jié),則采用了BEER模型來刻畫人民幣均衡匯率,并使用VECM分析了變量間的長期均衡關(guān)系,最后用ARCH-t模型建立起VAR系統(tǒng),檢驗了人民幣匯率風(fēng)險與人民幣匯率錯位的相關(guān)性。 實證結(jié)果表明,港幣兌人民幣匯率風(fēng)險及港幣兌人民幣匯率變動率兩個變量的一期滯后值,都對港幣兌人民幣匯率風(fēng)險的當(dāng)期值有著顯著影響；香港離岸人民幣存款增長率和港幣兌人民幣匯率變動率的一期滯后值,對這兩個變量的當(dāng)期值都有著顯著影響。香港離岸人民幣匯率風(fēng)險與美元兌人民幣12個月NDF的風(fēng)險之間存在著長期穩(wěn)定的相互影響關(guān)系,且相互的影響均為正向的；美元兌人民幣12個月NDF的風(fēng)險與人民幣匯率錯位存在著相關(guān)關(guān)系,NDF的風(fēng)險對人民幣匯率錯位有著正向的影響。在此基礎(chǔ)上,香港離岸人民幣市場可以通過作用于人民幣匯率風(fēng)險,間接影響人民幣匯率錯位的產(chǎn)生。 因此,香港離岸人民幣市場的健康發(fā)展,對于保障我國外幣資產(chǎn)的安全性,緩解人民幣匯率錯位、令匯率趨向均衡,以及促進(jìn)中國內(nèi)部均衡與外部均衡狀態(tài)的達(dá)成,都有著重要的意義。我國應(yīng)該繼續(xù)大力發(fā)展香港離岸人民幣市場,推進(jìn)人民幣的國際化進(jìn)程。
[Abstract]:After more than 30 years of reform and opening up, China's economy has developed rapidly and its total economic volume has increased significantly. It has become the second largest economy in the world after the United States, and its integration with the world economy is deepening. The total volume of imports and exports of goods has reached the first in the world. At the same time, China's financial market is still far from developed countries, and its connection with international financial markets is very limited. In this case, vigorously developing the offshore RMB market and comprehensively promoting the internationalization of the RMB has become an indispensable and important link to further promote the sustainable development of China's economy and realize the optimal allocation of resources. This paper discusses in detail the existing theories and related concepts of the formation and development of offshore financial market, and analyzes and arranges the formation and development of offshore RMB market in Hong Kong. After summarizing the relevant research results of the offshore RMB market influence onshore RMB exchange rate in Hong Kong, the definition and measurement method of exchange rate risk and exchange rate dislocation are summarized. On the theoretical basis, based on the "ternary paradox", this paper deduces the transmission mechanism of the offshore RMB exchange rate in Hong Kong, and analyzes the influence of the offshore RMB market in Hong Kong on the RMB exchange rate risk and exchange rate misalignment. At the same time, the related research on the relationship between RMB exchange rate risk and exchange rate dislocation is analyzed, and the organic combination of the offshore RMB market in Hong Kong with RMB exchange rate risk and exchange rate dislocation is realized on this basis. In the empirical part, this paper selects the relevant data from the RMB exchange rate reform in 2005 to the end of 2013, and makes an empirical test on the correlation between the offshore RMB market in Hong Kong and the RMB exchange rate risk and exchange rate misalignment. In the specific calculation process, we first use ARCH-t model to measure the risk value of RMB exchange rate, and then use vector autoregressive method to test the correlation between offshore RMB market and RMB exchange rate risk in Hong Kong. In the relevant chapters of RMB exchange rate dislocation, BEER model is used to describe the RMB equilibrium exchange rate, and VECM is used to analyze the long-term equilibrium relationship between variables. Finally, the VAR system is established by using ARCH-t model. This paper examines the correlation between RMB exchange rate risk and RMB exchange rate misalignment. The empirical results show that the one-stage lag value of the two variables, Hong Kong dollar / RMB exchange rate risk and Hong Kong dollar / RMB exchange rate change rate, has a significant impact on the current value of Hong Kong dollar / RMB exchange rate risk. The growth rate of offshore renminbi deposits in Hong Kong and the lag in the rate of change of the Hong Kong dollar against the renminbi have a significant impact on the current value of both variables. There is a long-term and stable relationship between the exchange rate risk of offshore RMB in Hong Kong and the risk of USD / RMB in 12 months NDF, and the mutual influence is positive. There is a correlation between the risk of NDF and the misalignment of the RMB exchange rate. The risk of NDF has a positive effect on the misalignment of RMB exchange rate. On this basis, the offshore RMB market in Hong Kong can indirectly influence the occurrence of RMB exchange rate dislocation by acting on RMB exchange rate risk. Therefore, the healthy development of the offshore renminbi market in Hong Kong will ensure the safety of our foreign currency assets, ease the misalignment of the RMB exchange rate, make the exchange rate tend to be balanced, and promote the achievement of internal and external equilibrium in China. Are of great significance. China should continue to develop the offshore RMB market in Hong Kong and promote the internationalization of RMB.
【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.6

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本文編號：1934964