Spillover Effect in the RMB Foreign Exchange Market: Based on VAR and DCC-MVGARCH Models

This paper analyzes the stability and marketization of the RMB exchange rate after China introduced the foreign exchange rate reform by linking the RMB exchange rate with the offshore and onshore markets on August 11, 2015 (“8/11”). Under the framework of dynamic analysis, through Granger causality test, VAR model and DCC-MVGARCH model, the empirical analysis is conducted about the three market exchange rate linkages of CNY, NDF and CNH from May 2012 to December 2018. Then, the direction and degree of the linkage between the RMB's offshore and onshore exchange rates before and after the“8/11” exchange rate reform are compared. The research results show that: (1) since the “8/11”exchange rate reform, the RMB exchange rate has become more flexible; (2) the price-determining power of the RMB exchange rate may be weakened, and policy adjustment should take effect; and (3) the prerequisites, under which the offshore market can play a role, are the development of the market itself. This paper proposes that: (1) the onshore and offshore markets should develop in a collaborative manner to further increase exchange rate elasticity and flexibility; (2) close attention should be paid to the relationship between the offshore and onshore markets, and policy determination and flexibility should be maintained; and (3) the offshore market should be improved and play a due role.     

社会责任信息披露质量对权益资本成本的影响——基于生命周期视角

探讨在不同的生命周期，企业社会责任信息披露质量对权益资本成本的影响及其作用机制。运用回归分析法，对我国发布社会责任报告的上市公司2009-2014年间2645个样本数据进行实证研究，结果表明：(1)初创期，社会责任信息披露质量与权益资本成本无显著相关关系；(2)成长期，社会责任信息披露质量的提高能有效降低权益资本成本；(3)成熟期，两变量间的负相关性最强；(4)衰退期，两变量间呈正相关关系。进一步研究发现：非重污染行业中两变量的关系符合以上动态效应，但在重污染行业中生命周期因素对两变量关系的影响力减弱。本文的结论支持了我国上交所、深交所和国资委发布的鼓励社会责任信息披露的相关政策，也为企业在不同生命周期采取差异性披露措施以有效降低权益资本成本提供了理论参考。