【摘要】：自2010年8月香港人民幣可交割遠期市場成立以來,人民幣外匯市場格局發(fā)生了重大變化。為了厘清境內人民幣即期匯率與遠期匯率、境外人民幣無本金交割遠期匯率以及香港人民幣可交割遠期匯率四者之間的關系,本文首先采用wild bootstrap方差比檢驗方法對人民幣外匯市場的有效性進行檢驗。檢驗結果表明,香港人民幣可交割遠期市場成立之后,人民幣外匯市場仍未達到弱式有效。為了在非有效的市場環(huán)境下量化人民幣即期匯率與遠期匯率的相互關系以及價格發(fā)現(xiàn)能力,本文依次對人民幣即期匯率與遠期匯率的價格溢出效應、波動溢出效應與動態(tài)相關關系以及價格發(fā)現(xiàn)貢獻度進行實證研究。 由于2010年8月以來人民幣外匯市場始終處于不斷發(fā)展變化之中,為了捕捉即期匯率與遠期匯率之間可能存在的機制轉換,本文首先以2011年9月20日(2011年9月下旬人民幣外匯市場突現(xiàn)劇烈動蕩,遠期匯率由升水轉為貼水)作為結構突變參考點將研究區(qū)間劃分為兩個階段,然后分別建立門限向量自回歸模型(TVAR)對人民幣即遠期匯率間可能存在的機制轉換進行分析。研究表明,前后兩階段即期匯率與遠期匯率間均呈現(xiàn)兩機制的非線性關系,而且機制1與機制2占整個樣本區(qū)間的比例相差懸殊,因此,本文后續(xù)選擇對主要機制進行分析,此舉既提高了分析的精度又過濾了次要信息。 外匯市場間價格溢出效應的研究采用Granger因果關系檢驗、向量誤差修正模型、脈沖響應函數等方法從一階矩的角度分析了人民幣即遠期匯率之間的相互引導關系。研究結果表明,第一階段境外人民幣無本金交割遠期市場的價格溢出效應優(yōu)勢明顯,而第二階段境外人民幣無本金交割遠期市場的價格溢出效應優(yōu)勢逐漸被香港人民幣可交割遠期市場以及境內人民幣外匯市場所擠占。外匯市場間波動溢出效應與動態(tài)相關關系的研究采用擴展的廣義DCC-GARCH模型(Dynamic Conditional Correlation GARCH Model,即動態(tài)條件相關GARCH模型),從二階矩的角度研究人民幣即期匯率與遠期匯率之間的相互引導關系。波動溢出效應實證結果表明：前后兩階段香港人民幣可交割遠期外匯市場的波動均比較劇烈,而第二階段人民幣無本金交割遠期市場的波動劇烈程度較第一階段有所降低；與第一階段比較,第二階段境內外匯市場的波動溢出效應有所提高。動態(tài)相關關系實證結果表明：第一階段香港人民幣可交割遠期市場與境內人民幣外匯市場的相關性不斷提高；第二階段人民幣無本金交割遠期市場與境內人民幣外匯市場的相關性降低。由于雙向溢出效應的存在,僅依賴溢出效應分析無法準確量化外匯市場價格發(fā)現(xiàn)能力的強弱。為了量化各外匯市場的價格發(fā)現(xiàn)能力,本文進一步采用修正的信息份額模型(MIS模型)對各外匯市場的價格發(fā)現(xiàn)貢獻度進行測度。分析結果表明,第一階段人民幣無本金交割遠期市場的價格發(fā)現(xiàn)貢獻度最高；第二階段香港人民幣可交割遠期市場的信息份額較第一階段明顯提高,且價格發(fā)現(xiàn)貢獻度居首位。上述研究結論表明,自2010年9月以來,香港人民幣可交割遠期市場的價格引導能力與價格發(fā)現(xiàn)能力顯著提高,但其價格發(fā)現(xiàn)貢獻度的領先優(yōu)勢并不明顯,而且市場波動比較劇烈。因此,香港人民幣可交割遠期市場能否真正起到即期匯率風向標的作用,仍需要繼續(xù)觀察。境內人民幣遠期市場的價格引導能力與價格發(fā)現(xiàn)貢獻度逐漸增強,表明我國匯率形成機制市場化改革取得了一定的成果。但目前境內外匯率市場的信息傳導路徑仍不順暢,政府仍需繼續(xù)推進外匯制度市場化改革。 總之,在人民幣外匯市場尚未形成長期穩(wěn)定格局的情況下,我國政府應充分利用人民幣國際化的契機,加大力度培育人民幣境內外匯市場和香港人民幣可交割遠期市場,逐步放松對國內投資者進入境外人民幣無本金交割遠期市場的管制,循序漸進建設外匯市場之間的聯(lián)通渠道,提高風險監(jiān)管水平,充分釋放遠期市場價格發(fā)現(xiàn)作用。
[Abstract]:Since the establishment of the Hongkong RMB deliverable forward market in August 2010, the pattern of RMB exchange market has changed greatly. In order to clarify the relationship between RMB spot exchange rate and forward exchange rate, foreign RMB non principal delivery forward rate and the relationship between the four of Hongkong RMB exchange rate forward rate, this paper first uses wild boo The validity of the RMB foreign exchange market is tested by the Tstrap variance ratio test. The test results show that the RMB foreign exchange market has not reached the weak efficiency after the establishment of the Hongkong RMB deliverable forward market. In order to quantify the relationship between the RMB spot rate and the forward exchange rate in the non effective market environment and the price hair. At present, this paper makes an empirical study on the price spillover effect of RMB spot exchange rate and forward exchange rate, volatility spillover effect and dynamic correlation and price discovery contribution.
Since the RMB exchange market has been constantly changing since August 2010, in order to capture the possible mechanism transformation between the immediate exchange rate and the forward exchange rate, this paper first takes September 20, 2011 (the RMB foreign exchange market in late September 2011) as a structural catastrophe. The research section divides the research area into two stages, and then establishes the threshold vector autoregressive model (TVAR) to analyze the possible mechanism transformation between RMB and forward exchange rate respectively. The study shows that both the front and back two stages of the forward and forward exchange rates have the non linear relationship between the two mechanism and the mechanism 1 and the mechanism 2 account for the whole sample. Because of the disparity of the proportions of the intervals, the main mechanism is analyzed in this paper, which not only improves the accuracy of the analysis but also filters the secondary information.
The study of price spillovers among the foreign exchange market uses the Granger causality test, the vector error correction model and the impulse response function to analyze the mutual guidance relationship between the RMB and the forward exchange rate from the point of view of the first moment. The results show that the price spillover effect of the first stage of the foreign people's money free money delivery in the forward market is the first stage. The advantages of the second phase of the second phase of the overseas RMB non principal delivery forward market are gradually occupied by the Hongkong RMB deliverable forward market and the domestic RMB foreign exchange market. The study of the volatility spillover effect and the dynamic correlation between the foreign exchange market adopts the extended generalized DCC-GARCH model (Dynamic Con). Ditional Correlation GARCH Model, which is the dynamic conditional correlation GARCH model), studies the mutual guidance relationship between RMB immediate exchange rate and forward exchange rate from the angle of two order moment. The empirical results of volatility spillover effect show that the volatility of the forward foreign exchange market of Hongkong RMB can be delivered in the front and back two stages, while the second stage people are more volatile. Compared with the first stage, the volatility spillover effect of the second stage domestic foreign exchange market has been improved. The empirical results of the dynamic correlation show that the first phase of the Hongkong RMB deliverable forward market and the domestic RMB foreign exchange market correlation. In the second stage, the correlation between the RMB non principal delivery forward market and the RMB foreign exchange market is reduced. Due to the existence of the two-way spillover effect, only the spillover effect analysis can not accurately quantify the strength of the price discovery ability of the foreign exchange market. The revised information share model (MIS model) is used to measure the price discovery contribution of each foreign exchange market. The analysis results show that the first stage of the RMB unpaid forward market has the highest contribution to the price discovery; the second phase of Hongkong's RMB exchange forward market information share is significantly higher than the first stage, and the price is issued. The above results show that the price guidance ability and price discovery ability of Hongkong RMB deliverable forward market have increased significantly since September 2010, but the leading advantage of its price discovery contribution is not obvious, and the market volatility is more intense. Therefore, whether the RMB can deliver the forward market in Hongkong is true. It is still necessary to continue to observe the role of the spot exchange rate vane. The price guidance capacity of the RMB forward market and the contribution of the price discovery are gradually enhanced, which indicates that the market-oriented reform of the exchange rate formation mechanism in China has achieved certain results. However, the information transmission path of the exchange rate market at home and abroad is still not smooth and the government still needs to continue. We should promote the market-oriented reform of the foreign exchange system.
In a word, when the RMB foreign exchange market has not yet formed a long-term stable pattern, our government should make full use of the opportunity of RMB internationalization, strengthen the efforts to cultivate the RMB domestic foreign exchange market and the Hongkong RMB deliverable forward market, and gradually relax the management of the domestic investors into the foreign RMB non principal delivery forward market. We should gradually build channels for linking foreign exchange markets, improve the level of risk supervision and fully release the role of forward market price discovery.
【學位授予單位】：華中科技大學
【學位級別】：博士
【學位授予年份】：2014
【分類號】：F832.6

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