【摘要】：文章通過建立基本的GARCH模型和擴展的GARCH模型,探討了市場基本面、全球金融市場環(huán)境以及相關(guān)政策等因素對人民幣離岸和在岸市場的定價差異的影響。實證結(jié)果表明,人民幣離岸和在岸市場定價差異是多方面因素共同作用的結(jié)果,兩個市場流動性差異和參與者預(yù)期差異對于人民幣離岸和在岸定價差異及其波動會產(chǎn)生顯著影響,全球風(fēng)險厭惡情緒上漲和美元升值會增大人民幣在兩個市場的定價差異及其波動。在政策方面,允許人民幣資本跨境流出的措施會明顯減少兩個市場的定價差距,反之亦然。在岸市場人民幣兌美元中間價形成機制改革顯著地擴大了人民幣兩個市場的差異,加劇了其波動。
[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】： 南開大學(xué)跨國公司研究中心;南開大學(xué)國際經(jīng)濟研究所;
【基金】：國家社會科學(xué)基金重大項目“引進外資與對外投資兩大開放戰(zhàn)略的協(xié)調(diào)機制與政策研究”(項目號:15ZDA057) 教育部人文社會科學(xué)基地重大項目(項目號:11JJD790005) 中國特色社會主義經(jīng)濟建設(shè)協(xié)同創(chuàng)新中心和南開大學(xué)亞洲研究中心項目(項目號:AS1507)的資助
【分類號】：F832.6
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本文編號：2152943