【摘要】：文章通過(guò)建立基本的GARCH模型和擴(kuò)展的GARCH模型,探討了市場(chǎng)基本面、全球金融市場(chǎng)環(huán)境以及相關(guān)政策等因素對(duì)人民幣離岸和在岸市場(chǎng)的定價(jià)差異的影響。實(shí)證結(jié)果表明,人民幣離岸和在岸市場(chǎng)定價(jià)差異是多方面因素共同作用的結(jié)果,兩個(gè)市場(chǎng)流動(dòng)性差異和參與者預(yù)期差異對(duì)于人民幣離岸和在岸定價(jià)差異及其波動(dòng)會(huì)產(chǎn)生顯著影響,全球風(fēng)險(xiǎn)厭惡情緒上漲和美元升值會(huì)增大人民幣在兩個(gè)市場(chǎng)的定價(jià)差異及其波動(dòng)。在政策方面,允許人民幣資本跨境流出的措施會(huì)明顯減少兩個(gè)市場(chǎng)的定價(jià)差距,反之亦然。在岸市場(chǎng)人民幣兌美元中間價(jià)形成機(jī)制改革顯著地?cái)U(kuò)大了人民幣兩個(gè)市場(chǎng)的差異,加劇了其波動(dòng)。
[Abstract]:By establishing the basic GARCH model and the extended GARCH model, this paper discusses the influence of market fundamentals, global financial market environment and related policies on the pricing differences between offshore and onshore markets of RMB. The empirical results show that the pricing differences between offshore and onshore markets are the result of multiple factors. Liquidity differences and participants' expectations in the two markets have a significant impact on offshore and onshore pricing differences and their volatility. A rise in global risk aversion and a stronger dollar would increase the price difference and volatility of the yuan in both markets. On the policy front, allowing cross-border outflows of renminbi capital would significantly reduce the pricing gap between the two markets, and vice versa. The reform of the formation mechanism of RMB / USD in onshore market has significantly widened the difference between the two markets and exacerbated its volatility.
【作者單位】： 南開(kāi)大學(xué)跨國(guó)公司研究中心;南開(kāi)大學(xué)國(guó)際經(jīng)濟(jì)研究所;
【基金】：國(guó)家社會(huì)科學(xué)基金重大項(xiàng)目“引進(jìn)外資與對(duì)外投資兩大開(kāi)放戰(zhàn)略的協(xié)調(diào)機(jī)制與政策研究”(項(xiàng)目號(hào):15ZDA057) 教育部人文社會(huì)科學(xué)基地重大項(xiàng)目(項(xiàng)目號(hào):11JJD790005) 中國(guó)特色社會(huì)主義經(jīng)濟(jì)建設(shè)協(xié)同創(chuàng)新中心和南開(kāi)大學(xué)亞洲研究中心項(xiàng)目(項(xiàng)目號(hào):AS1507)的資助
【分類(lèi)號(hào)】：F832.6
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本文編號(hào)：2152943