發(fā)布時間：2019-07-01 17:31

【摘要】：在人民幣國際化進程不斷深入以及人民幣匯率市場化程度越來越高的新形勢下,人民幣兌美元匯率的波動也在加劇。同時人民幣離岸外匯市場的交易量已經(jīng)遠超過在岸市場的交易量,人民幣在岸匯率與離岸匯率之間的相互影響也越來越重要。從2015年下半年開始人民幣兌美元匯率有明顯的上升趨勢,這是與2015年之前的人民幣一直存在的升值壓力不同的。因此對新形勢下人民幣在岸匯率與離岸匯率的波動及相互關(guān)系研究就很有意義。本文首先對人民幣在岸外匯市場和離岸外匯市場的發(fā)展歷史及匯率的形成機制進行了研究,并通過對最近幾年的在岸匯率和離岸匯率變化趨勢可以看出兩者之間存在著某種聯(lián)系,接著分析了匯率決定的主要影響因素和相關(guān)模型,及在離岸外匯市場和在岸外匯市場的不同應(yīng)用。由在岸市場與離岸市場不同特點得出在岸市場受實體經(jīng)濟的影響比較大,產(chǎn)品屬性較強,有調(diào)整慢的特點,因此比較符合匯率決定的多恩布什模型;而離岸市場以金融衍生品為主,受外匯投機交易的影響比較大,有調(diào)整快的特點,因此在匯率決定上更符合資產(chǎn)市場模型或隨機漫步模型。其次通過對在岸匯率和離岸匯率時間序列的向量自回歸分析(VAR)、協(xié)整檢驗和向量誤差修正分析(VEC),驗證了人民幣在岸匯率與離岸匯率彼此之間存在固定的比例關(guān)系及不同特點,在岸匯率對離岸匯率有牽制作用,離岸匯率對在岸匯率有預(yù)測作用。在岸匯率與離岸匯率的彼此作用關(guān)系上,在岸匯率還是處于主導(dǎo)地位。之后分析了新形勢下在岸市場和離岸市場的相互聯(lián)系方式,雙匯率制下的套利影響以及人民幣離岸市場發(fā)展的意義和存在的風險。通過對雙匯率制下的套利活動進行分析得出當離岸匯率高于在岸匯率且人民幣是遠期升水時或者當離岸匯率低于在岸匯率且人民幣是遠期貼水時,套利不易進行。當離岸匯率高于在岸匯率且人民幣是遠期貼水時或者當離岸匯率低于在岸匯率且人民幣是遠期升水時,將強化預(yù)期,加劇匯率波動。最后對全文進行了總結(jié),并從經(jīng)濟基本面和整體均衡方面給出了建議。
[Abstract]:Under the new situation that the internationalization of RMB is deepening and the degree of marketization of RMB exchange rate is getting higher and higher, the fluctuation of RMB exchange rate against US dollar is also increasing. At the same time, the trading volume of RMB offshore foreign exchange market has far exceeded that of onshore market, and the interaction between RMB and offshore exchange rate is becoming more and more important. Since the second half of 2015, the renminbi has shown a clear upward trend against the dollar, which is different from the pressure on the yuan to appreciate until 2015. Therefore, it is of great significance to study the fluctuation and relationship between RMB onshore exchange rate and offshore exchange rate under the new situation. This paper first studies the development history and formation mechanism of RMB onshore foreign exchange market and offshore foreign exchange market, and through the change trend of onshore exchange rate and offshore exchange rate in recent years, we can see that there is a certain relationship between them, and then analyzes the main influencing factors and related models of exchange rate determination, and the different applications in offshore foreign exchange market and onshore foreign exchange market. From the different characteristics of the onshore market and the offshore market, it is concluded that the onshore market is greatly influenced by the real economy, the product attribute is strong, and the adjustment is slow, so it is more in line with the DornBush model determined by the exchange rate, while the offshore market is dominated by financial derivatives, which is greatly affected by foreign exchange speculation and has the characteristics of fast adjustment, so it is more in line with the asset market model or random walk model in the exchange rate decision. Secondly, through vector autoregression analysis of onshore exchange rate and offshore exchange rate time series, (VAR), cointegration test and vector error correction analysis (VEC), verify that RMB has a fixed proportional relationship and different characteristics between onshore exchange rate and offshore exchange rate. The offshore exchange rate can restrain the offshore exchange rate, and the offshore exchange rate has a predictive effect on the onshore exchange rate. In the relationship between shoreline exchange rate and offshore exchange rate, the onshore exchange rate is still in a dominant position. Then it analyzes the interrelation between the onshore market and the offshore market under the new situation, the arbitrage influence under the double exchange rate system, and the significance and risks of the development of the RMB offshore market. Through the analysis of arbitrage activities under the double exchange rate system, it is concluded that arbitrage is not easy to carry out when the offshore exchange rate is higher than the onshore exchange rate and the RMB is forward rising or when the offshore exchange rate is lower than the onshore exchange rate and the RMB is a forward discount. When the offshore exchange rate is higher than the onshore exchange rate and the RMB is a forward discount, or when the offshore exchange rate is lower than the onshore exchange rate and the RMB is a forward rise, expectations will be strengthened and exchange rate fluctuations will be intensified. Finally, the paper summarizes the full text, and gives some suggestions from the aspects of economic fundamentals and overall equilibrium.
【學(xué)位授予單位】：對外經(jīng)濟貿(mào)易大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.6

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本文編號：2508672