【摘要】：從不同經(jīng)濟(jì)發(fā)展階段的視角,研究CNY、CNH和NDF市場間的價格傳導(dǎo)機(jī)制,檢驗其均值溢出效應(yīng)及風(fēng)險溢出效應(yīng)的存在性,發(fā)現(xiàn)并解釋其異質(zhì)特征,剖析CNH市場對CNY市場、NDF市場對CNH市場價格引導(dǎo)作用的微觀機(jī)理,給出了實證證據(jù)。研究發(fā)現(xiàn):這三個市場的波動叢集現(xiàn)象顯著且逐漸趨弱;隨著時間推移,當(dāng)下波動對未來市場波動的影響趨緩,但風(fēng)險和損失對市場沖擊的持續(xù)期變長。研究還表明:境內(nèi)外人民幣即期匯差存在自動收斂的機(jī)制,價格將趨向一致,盡管匯差的收斂速度和波動分別隨時間推移加快和收窄,但收斂緩慢、波動較大且在一段時間內(nèi)保持較高水平,預(yù)期和套利機(jī)制仍不能充分發(fā)揮市場信息傳導(dǎo)功能。CNY市場缺乏對離岸CNH市場和NDF市場的價格引導(dǎo)作用,人民幣匯率價格從離岸向境內(nèi)市場傳遞,離岸市場對境內(nèi)市場的價格發(fā)現(xiàn)功能隨人民幣市場化和國際化發(fā)展逐漸完善,但溢出效應(yīng)存在滯后性且反饋周期較長。
[Abstract]:From the perspective of different stages of economic development, this paper studies the price conduction mechanism between CNY CNH and NDF market, tests the existence of its mean spillover effect and risk spillover effect, and finds out and explains its heterogeneity. This paper analyzes the microcosmic mechanism of CNH market to CNY market and NDF market to CNH market price guidance, and gives the empirical evidence. It is found that the volatility cluster phenomenon in these three markets is significant and gradually weakening; with the passage of time, the impact of current volatility on future market volatility slows down, but the duration of risk and loss on market shocks becomes longer. The study also shows that there is an automatic convergence mechanism for the spot exchange rate difference between domestic and foreign RMB, and the price will tend to be the same. Although the convergence rate and fluctuation of the exchange difference accelerate and narrow over time respectively, the convergence rate is slow. Fluctuating and maintaining a high level for a period of time, the expected and arbitrage mechanism still can not give full play to the market information transmission function .CNY market lacks the price guidance function to the offshore CNH market and the NDF market. RMB exchange rate price is transferred from offshore to domestic market. The price discovery function of offshore market to domestic market is gradually improved with the development of RMB marketization and internationalization, but the spillover effect is lagging behind and the feedback period is longer.
【作者單位】： 南京大學(xué)經(jīng)濟(jì)學(xué)院;國泰君安證券;
【基金】：國家自然科學(xué)基金資助項目(71371095,71271108)
【分類號】：F832.6

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本文編號：2191077