【摘要】：自2010年8月香港人民幣可交割遠(yuǎn)期市場(chǎng)成立以來(lái),人民幣外匯市場(chǎng)格局發(fā)生了重大變化。為了厘清境內(nèi)人民幣即期匯率與遠(yuǎn)期匯率、境外人民幣無(wú)本金交割遠(yuǎn)期匯率以及香港人民幣可交割遠(yuǎn)期匯率四者之間的關(guān)系,本文首先采用wild bootstrap方差比檢驗(yàn)方法對(duì)人民幣外匯市場(chǎng)的有效性進(jìn)行檢驗(yàn)。檢驗(yàn)結(jié)果表明,香港人民幣可交割遠(yuǎn)期市場(chǎng)成立之后,人民幣外匯市場(chǎng)仍未達(dá)到弱式有效。為了在非有效的市場(chǎng)環(huán)境下量化人民幣即期匯率與遠(yuǎn)期匯率的相互關(guān)系以及價(jià)格發(fā)現(xiàn)能力,本文依次對(duì)人民幣即期匯率與遠(yuǎn)期匯率的價(jià)格溢出效應(yīng)、波動(dòng)溢出效應(yīng)與動(dòng)態(tài)相關(guān)關(guān)系以及價(jià)格發(fā)現(xiàn)貢獻(xiàn)度進(jìn)行實(shí)證研究。 由于2010年8月以來(lái)人民幣外匯市場(chǎng)始終處于不斷發(fā)展變化之中,為了捕捉即期匯率與遠(yuǎn)期匯率之間可能存在的機(jī)制轉(zhuǎn)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(chǎng)突現(xiàn)劇烈動(dòng)蕩,遠(yuǎn)期匯率由升水轉(zhuǎn)為貼水)作為結(jié)構(gòu)突變參考點(diǎn)將研究區(qū)間劃分為兩個(gè)階段,然后分別建立門限向量自回歸模型(TVAR)對(duì)人民幣即遠(yuǎn)期匯率間可能存在的機(jī)制轉(zhuǎn)換進(jìn)行分析。研究表明,前后兩階段即期匯率與遠(yuǎn)期匯率間均呈現(xiàn)兩機(jī)制的非線性關(guān)系,而且機(jī)制1與機(jī)制2占整個(gè)樣本區(qū)間的比例相差懸殊,因此,本文后續(xù)選擇對(duì)主要機(jī)制進(jìn)行分析,此舉既提高了分析的精度又過(guò)濾了次要信息。 外匯市場(chǎng)間價(jià)格溢出效應(yīng)的研究采用Granger因果關(guān)系檢驗(yàn)、向量誤差修正模型、脈沖響應(yīng)函數(shù)等方法從一階矩的角度分析了人民幣即遠(yuǎn)期匯率之間的相互引導(dǎo)關(guān)系。研究結(jié)果表明,第一階段境外人民幣無(wú)本金交割遠(yuǎn)期市場(chǎng)的價(jià)格溢出效應(yīng)優(yōu)勢(shì)明顯,而第二階段境外人民幣無(wú)本金交割遠(yuǎn)期市場(chǎng)的價(jià)格溢出效應(yīng)優(yōu)勢(shì)逐漸被香港人民幣可交割遠(yuǎn)期市場(chǎng)以及境內(nèi)人民幣外匯市場(chǎng)所擠占。外匯市場(chǎng)間波動(dòng)溢出效應(yīng)與動(dòng)態(tài)相關(guān)關(guān)系的研究采用擴(kuò)展的廣義DCC-GARCH模型(Dynamic Conditional Correlation GARCH Model,即動(dòng)態(tài)條件相關(guān)GARCH模型),從二階矩的角度研究人民幣即期匯率與遠(yuǎn)期匯率之間的相互引導(dǎo)關(guān)系。波動(dòng)溢出效應(yīng)實(shí)證結(jié)果表明：前后兩階段香港人民幣可交割遠(yuǎn)期外匯市場(chǎng)的波動(dòng)均比較劇烈,而第二階段人民幣無(wú)本金交割遠(yuǎn)期市場(chǎng)的波動(dòng)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(nèi)外匯市場(chǎng)的波動(dòng)溢出效應(yīng)有所提高。動(dòng)態(tài)相關(guān)關(guān)系實(shí)證結(jié)果表明：第一階段香港人民幣可交割遠(yuǎn)期市場(chǎng)與境內(nèi)人民幣外匯市場(chǎng)的相關(guān)性不斷提高；第二階段人民幣無(wú)本金交割遠(yuǎn)期市場(chǎng)與境內(nèi)人民幣外匯市場(chǎng)的相關(guān)性降低。由于雙向溢出效應(yīng)的存在,僅依賴溢出效應(yīng)分析無(wú)法準(zhǔn)確量化外匯市場(chǎng)價(jià)格發(fā)現(xiàn)能力的強(qiáng)弱。為了量化各外匯市場(chǎng)的價(jià)格發(fā)現(xiàn)能力,本文進(jìn)一步采用修正的信息份額模型(MIS模型)對(duì)各外匯市場(chǎng)的價(jià)格發(fā)現(xiàn)貢獻(xiàn)度進(jìn)行測(cè)度。分析結(jié)果表明,第一階段人民幣無(wú)本金交割遠(yuǎn)期市場(chǎng)的價(jià)格發(fā)現(xiàn)貢獻(xiàn)度最高；第二階段香港人民幣可交割遠(yuǎn)期市場(chǎng)的信息份額較第一階段明顯提高,且價(jià)格發(fā)現(xiàn)貢獻(xiàn)度居首位。上述研究結(jié)論表明,自2010年9月以來(lái),香港人民幣可交割遠(yuǎn)期市場(chǎng)的價(jià)格引導(dǎo)能力與價(jià)格發(fā)現(xiàn)能力顯著提高,但其價(jià)格發(fā)現(xiàn)貢獻(xiàn)度的領(lǐng)先優(yōu)勢(shì)并不明顯,而且市場(chǎng)波動(dòng)比較劇烈。因此,香港人民幣可交割遠(yuǎn)期市場(chǎng)能否真正起到即期匯率風(fēng)向標(biāo)的作用,仍需要繼續(xù)觀察。境內(nèi)人民幣遠(yuǎn)期市場(chǎng)的價(jià)格引導(dǎo)能力與價(jià)格發(fā)現(xiàn)貢獻(xiàn)度逐漸增強(qiáng),表明我國(guó)匯率形成機(jī)制市場(chǎng)化改革取得了一定的成果。但目前境內(nèi)外匯率市場(chǎng)的信息傳導(dǎo)路徑仍不順暢,政府仍需繼續(xù)推進(jìn)外匯制度市場(chǎng)化改革。 總之,在人民幣外匯市場(chǎng)尚未形成長(zhǎng)期穩(wěn)定格局的情況下,我國(guó)政府應(yīng)充分利用人民幣國(guó)際化的契機(jī),加大力度培育人民幣境內(nèi)外匯市場(chǎng)和香港人民幣可交割遠(yuǎn)期市場(chǎng),逐步放松對(duì)國(guó)內(nèi)投資者進(jìn)入境外人民幣無(wú)本金交割遠(yuǎn)期市場(chǎng)的管制,循序漸進(jìn)建設(shè)外匯市場(chǎng)之間的聯(lián)通渠道,提高風(fēng)險(xiǎn)監(jiān)管水平,充分釋放遠(yuǎn)期市場(chǎng)價(jià)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(xué)位授予單位】：華中科技大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.6

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