在岸与离岸人民币即期汇差的时变影响研究 ——基于修正的抛补利率平价模型的实证检验

基于修正的抛补利率平价模型，构建TVP-SV-VAR模型分析北向资金流动、人民币远期汇差、中美利差和中港利差对在岸与离岸人民币即期汇差的时变影响。结果表明：北向资金、人民币远期汇差以及中美、中港利差均对人民币即期汇差的短期影响最明显，中长期影响程度减弱；北向资金净流入增加、中美利差走阔和中港利差收窄会扩大人民币即期汇差；人民币远期汇差对人民币即期汇差的正向和负向影响交替发生。鉴于此，中国央行应当持续关注北向资金流向和流量、加强外汇市场沟通以及统筹和推动在岸和离岸人民币市场的良性协调发展。

Investigating Time-varying Impacts of CNY-CNH Exchange Rate Spread:Empirical Test Based on a Modified Covered Interest Parity Model

Based on a modified covered interest rate parity model, a TVP-SV-VAR model is constructed to analyze the time-varying effects of northbound capital flows, the CNY-CNH forward exchange rate spread, China-US interest rate differential and China-HK interest rate differential on the CNY-CNH spot exchange rate spread. The empirical results show that, the above four factors have the most obvious short-term impact on the CNY-CNH spot exchange rate spread, and the degree of medium and long-term impact is weakened; the increase in the net inflow of northbound capital, the widening of China-US interest rate differential, and the narrowing of China-HK interest rate differential will widen the CNY-CNH spot exchange rate spread; the positive and negative effects of the CNY-CNH forward exchange rate spread on the CNY-CNH spot exchange rate spread occur alternately. In view of this, the Central Bank of China should continue to pay attention to the northbound capital flow, strengthen communication in the foreign exchange market, and promote the sound and coordinated development of the onshore and offshore RMB markets.