【摘要】：人民幣匯率走勢(shì)由哪個(gè)市場(chǎng)主導(dǎo),一直是政府與學(xué)術(shù)界關(guān)注的熱點(diǎn)問(wèn)題。香港人民幣離岸市場(chǎng)出現(xiàn)之前,大部分學(xué)者認(rèn)為人民幣匯率走勢(shì)被人民幣境外NDF所控制；香港人民幣離岸即期匯率市場(chǎng)與香港離岸不交收人民幣遠(yuǎn)期匯率市場(chǎng)的出現(xiàn),使得這一討論變得更加激烈與復(fù)雜。為了進(jìn)一步弄清該問(wèn)題,本文基于利率平價(jià)理論,研究人民幣大陸(境內(nèi))即期市場(chǎng)、人民幣境外NDF市場(chǎng)、香港人民幣離岸即期匯率市場(chǎng)與香港離岸不交收人民幣遠(yuǎn)期匯率市場(chǎng)這四個(gè)市場(chǎng)之間的相互關(guān)系,以此來(lái)確定哪個(gè)市場(chǎng)主導(dǎo)人民幣匯率的價(jià)格走勢(shì)。研究結(jié)果表明,人民幣境外NDF市場(chǎng)均單方向地引導(dǎo)著人民幣大陸(境內(nèi))即期市場(chǎng)和香港人民幣離岸即期市場(chǎng),香港離岸不交收人民幣遠(yuǎn)期市場(chǎng)單方向地引導(dǎo)著香港人民幣離岸即期市場(chǎng),即當(dāng)今人民幣匯率走勢(shì)被人民幣境外市場(chǎng)所掌握。本文又基于GARCH模型,研究了人民幣境外NDF市場(chǎng)與香港離岸不交收人民幣遠(yuǎn)期市場(chǎng)之間的關(guān)系,分析得出香港離岸不交收人民幣遠(yuǎn)期市場(chǎng)受人民幣境外NDF市場(chǎng)單方向波動(dòng)影響。通過(guò)以上分析,本文得出當(dāng)今人民幣匯率走勢(shì)依然掌握在人民幣境外NDF市場(chǎng)手中的結(jié)論。面對(duì)這一局面,本文從學(xué)術(shù)角度和政府政策角度分別給出了建議,學(xué)術(shù)角度本文認(rèn)為在夯實(shí)理論的基礎(chǔ)上,應(yīng)繼續(xù)跟蹤香港人民幣離岸市場(chǎng)的相關(guān)匯率數(shù)據(jù),增加實(shí)證分析的數(shù)據(jù)個(gè)數(shù),探尋更加合適的實(shí)證方法對(duì)四個(gè)市場(chǎng)關(guān)系進(jìn)行分析；政府也應(yīng)逐步放開(kāi)對(duì)人民幣大陸(境內(nèi))即期匯率的管制,推動(dòng)其市場(chǎng)化的同時(shí),頒布針對(duì)香港人民幣離岸即期市場(chǎng)、香港離岸不交收人民幣遠(yuǎn)期匯率市場(chǎng)的金融法律法規(guī),營(yíng)造一個(gè)開(kāi)放、健康的金融環(huán)境,促進(jìn)香港市場(chǎng)的穩(wěn)定快速發(fā)展。
[Abstract]:Which market dominates the trend of RMB exchange rate has been a hot issue concerned by the government and academia. Before the emergence of offshore renminbi market in Hong Kong, most scholars believed that the trend of RMB exchange rate was controlled by NDF outside the RMB. The emergence of the Hong Kong renminbi spot market and the Hong Kong offshore non-deliverable renminbi forward market has made the discussion even more intense and complex. In order to further understand this problem, based on the theory of interest rate parity, this paper studies the spot market of RMB mainland (domestic), the NDF market outside RMB. The relationship between the offshore spot exchange rate market in Hong Kong and the four markets in the offshore non-deliverable renminbi forward exchange rate market in Hong Kong to determine which market dominates the price movements of the renminbi exchange rate. The research results show that the offshore NDF market of RMB leads the spot market of the mainland RMB (domestic) and the offshore spot market of RMB in Hong Kong in a single direction. The offshore non-deliverable forward market in Hong Kong is leading the offshore spot market in Hong Kong in one direction, that is to say, the trend of the RMB exchange rate is controlled by the overseas RMB market. Based on the GARCH model, this paper studies the relationship between the offshore NDF market and the offshore unsettled renminbi forward market in Hong Kong. It is concluded that the offshore NDF market in Hong Kong is affected by the one-way volatility of the offshore NDF market in Hong Kong. Through the above analysis, this paper draws the conclusion that the trend of RMB exchange rate is still in the hands of NDF market. In the face of this situation, this paper gives some suggestions from the angle of academic and government policy respectively. From the academic point of view, we should continue to track the relevant exchange rate data of the offshore RMB market in Hong Kong on the basis of tamping theory. Increase the number of empirical analysis data, explore more appropriate empirical methods to analyze the four market relationships; The government should also gradually liberalize the control of the spot exchange rate of the renminbi mainland (domestic), promote its marketization, and at the same time promulgate financial laws and regulations aimed at the offshore spot market of the renminbi in Hong Kong and the market for non-settlement of the renminbi forward exchange rate in Hong Kong. To create an open and healthy financial environment to promote the stable and rapid development of the Hong Kong market.
【學(xué)位授予單位】：北京郵電大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F832.6;F224

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