人民币汇率价格信息传导机制研究 ——基于离岸和在岸即期市场的实证分析

随着人民币国际化进程的不断推进,离岸与在岸的人民币即期汇率市场之间开始有均值(或波动)的相互影响。该价格信息传导机制具体表现为:两个市场之间存在均值和波动溢出效应,并且均值溢出效应不太稳定,波动溢出效应相对稳定;内部因素的变化往往会改变价格信息传导的方向和作用,而外生冲击的影响则相对有限;当期升值较快的市场往往会主导均值溢出效应,但波动溢出效应是由受政策预期影响的在岸市场所主导;利好消息会减少离岸市场的波动,但会加大在岸市场的波动。

The Study of the Information Flows of RMB Exchange Rate: Based on the Onshore and Offshore Spot Markets

With the continuous progress of RMB internationalization, the RMB spot exchange markets between the offshore and onshore have begun with the mean or volatility interaction. This mechanism of information flows suggests as follows. The mean and volatility spillover effects exist between the two markets, particular the mean spillover effect is instable and the volatility spillover effect is stable. The direction and function of information flows are changed by the internal factor, but the effect of external shock is relatively limited. The mean spillover effect is driven by the market with further appreciation, whereas the volatility spillover effect is led by onshore market with policy expectations. Good news will reduce the volatility of the offshore market, but increase the volatility of the onshore market.