發(fā)布時(shí)間：2018-05-21 02:38

  本文選題：國(guó)際金融市場(chǎng) + 離岸市場(chǎng)��； 參考：《財(cái)貿(mào)研究》2017年03期

【摘要】：在剖析國(guó)際金融市場(chǎng)波動(dòng)對(duì)離在岸人民幣匯差的影響機(jī)制的基礎(chǔ)上,利用2012年9月24日至2016年10月25日的離在岸人民幣即、遠(yuǎn)期匯率,以及美國(guó)VIX指數(shù)和德國(guó)VDAX指數(shù)數(shù)據(jù),通過(guò)構(gòu)建DCC-GARCH和VEC模型對(duì)國(guó)際金融市場(chǎng)和離在岸即、遠(yuǎn)期匯差進(jìn)行長(zhǎng)短期動(dòng)態(tài)相關(guān)性分析。結(jié)果表明:國(guó)際金融市場(chǎng)和離在岸人民幣即、遠(yuǎn)期匯差變動(dòng)有一定的動(dòng)態(tài)相關(guān)性,811匯改前、后這種相關(guān)性沒(méi)有明顯的變化;不論長(zhǎng)期里還是短期內(nèi),離在岸即期匯差和遠(yuǎn)期匯差的相關(guān)性都更強(qiáng)。為此,當(dāng)前應(yīng)穩(wěn)步實(shí)行匯率"雙軌制",加強(qiáng)對(duì)離岸人民幣外匯市場(chǎng)的監(jiān)測(cè),進(jìn)一步尋求離在岸市場(chǎng)協(xié)調(diào)發(fā)展的長(zhǎng)效機(jī)制。
[Abstract]:On the basis of analyzing the influence mechanism of the fluctuation of international financial market on the RMB exchange rate difference between shore and shore, this paper makes use of the data from September 24, 2012 to October 25, 2016, that is, the forward exchange rate of the onshore RMB, as well as the data of the VIX index of the United States and the VDAX index of Germany. DCC-GARCH and VEC models are constructed to analyze the long-term and short-term dynamic correlation between the international financial market and off-shore, that is, forward sink difference. The results show that: there is a dynamic correlation between the international financial market and off-shore RMB, that is, the forward exchange rate difference has a certain dynamic correlation before the exchange rate reform, but there is no obvious change in this correlation after the exchange rate reform, whether in the long term or in the short term, The correlation between spot sink difference and forward sink difference is stronger. Therefore, we should carry out the "double track system" of exchange rate steadily at present, strengthen the monitoring of offshore RMB foreign exchange market, and further seek a long-term effective mechanism for the coordinated development of off-shore market.
【作者單位】： 遼寧大學(xué)經(jīng)濟(jì)學(xué)院;山東財(cái)經(jīng)大學(xué)金融學(xué)院;
【基金】：國(guó)家社科基金項(xiàng)目“人民幣國(guó)際化戰(zhàn)略下貨幣競(jìng)爭(zhēng)與危機(jī)防范對(duì)策研究”(16BGJ004) 山東省高校人文社科研究計(jì)劃項(xiàng)目“金融危機(jī)對(duì)境內(nèi)外人民幣匯率相關(guān)性的影響研究”(J16WE20)
【分類(lèi)號(hào)】：F832.6

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