在岸与离岸人民币汇率动态研究——基于美元因素和套利因素的视角

在全球宏观环境背景下,研究在岸与离岸人民币汇率的联动机制可以为扩大我国金融市场对外开放、推动人民币国际化以及防范化解金融风险提供参考和理论依据。本文借鉴Verdelhan(2018)的研究,通过VECM-BEKK-GARCH模型研究了在岸与离岸人民币汇率间均值溢出效应和波动溢出效应中美元因素及套利因素的作用。结果发现:(1)“8·11”汇改后离岸人民币汇率对在岸人民币汇率的影响在均值溢出和波动溢出方面都显著上升,而在岸人民币汇率对离岸人民币汇率的波动溢出能力也开始出现,两个市场的一体性大幅提高;(2)美元因素和套利因素对在岸人民币汇率的影响越来越强,美元因素的影响依然要强于套利因素,这也基本符合前期研究中美元因素起主导作用的结论;(3)以美元因素和套利因素为代表的全球系统性变异因素会影响离岸市场向在岸市场的冲击传导以及在岸人民币市场向离岸人民币市场的波动传导。

Dynamic Study of Onshore and Offshore RMB Exchange Rates:From the Perspective of Dollar and Carry Factor

As the United States is still the world’s largest economy, many foreign exchange traders believe that the dollar index is an important factor affecting the short-term volatility of RMB exchange rate. The power of the dollar index has a great impact on the stability of global financial markets. Since the 1990s, multiple financial crises have been accompanied by the rapid rise of dollar index. The dollar index tendency will affect the market participants’ expectation of capital flow, thus affecting traders’ choice of asset portfolio. However, in comparison with the dollar index, the dollar and carry factor can summarize and reflect variation among global currencies better.
In recent years, China has gradually developed offshore RMB markets and liberalized exchange rate determination of the onshore RMB market. While the onshore RMB market faces the restrictions of the People’s Bank of China, the offshore markets can reflect market sentiment and expectations more sensitively. The rapid development of the offshore market also provides a new perspective for studying changes in the RMB exchange rate. After the 8·11 exchange rate reform in 2015, the trend of exchange rates in onshore and offshore markets tends similar obviously. Under the turbulent global macro environment, studying the linkage mechanism between the onshore and offshore RMB exchange rate can provide important reference and theoretical basis in for further opening of China’s financial market, while promoting the internationalization of RMB and preventing financial risks.
This paper analyzes the co-movements of onshore and offshore RMB exchange rates. We study the mean and volatility spillover effects of the exchange rates with global risk factors by using VECM-GARCH-BEKK model. By doing so, we can analyze the correlation features of the two markets in terms of mean and volatility while controlling the common share of global systematic variation.
The sample period of this paper is from January 1, 2012 to the end of 2018, covering the 8·11 exchange rate reform. The exchange rate reform is used as the breakpoint for further analysis of the impact of the dollar and carry factor on the co-movements between onshore and offshore RMB exchange rates. The onshore data are from the China Foreign Exchange Trade Center (CFETS), while the offshore data are from Bloomberg.
In terms of daily frequency, there is a long-term equilibrium relationship between the onshore RMB and the offshore RMB exchange rates. Before the 8·11 exchange rate reform, in response to increasing spread,the more market-based offshore exchange rate adjusted spontaneously to rebuild the equilibrium relationship between two markets. However, after the 8·11 exchange rate reform, once the spread between two markets becomes larger, both markets actively adjust the price level to reach equilibrium. This shows that the marketization of the onshore RMB market has been increased significantly after the exchange reform. The impact of the dollar factor on the onshore RMB exchange rate is always significant. The carry factor before the reform was not significant in explaining the onshore exchange rate, however it becomes significant after the reform.
The joint test shows that before the 8·11 reform, there is little evidence of a spillover effect between two markets. After the 8·11 reform, the onshore-market power to transmit volatility to the offshore market improves significantly,and the degree of integration between the two markets is also greatly improved. When the dollar factor and carry factor are under control, the ARCH spillover effect from the offshore market to the onshore market and the GARCH spillover effect from the onshore market to the offshore market disappear, which indicate that the dollar factor and carry factor absorb the shock transmission from the offshore to the onshore market and volatility transmission from the onshore to the offshore market.
The following suggestions are thus put forward based on the findings of this papar. First, to reduce the volatility risks of the exchange rate, more RMB derivative products with lower entry barriers should be devised as soon as possible. Second, to increase the number of investors, regulators should consider relaxing the principle of real demand requirement. Finally, more consideration of the impact of global risks should be given by the regulatory authorities in managing the exchange rates.