【摘要】 2015年的"8. 11"汇改后,在岸与离岸人民币汇率呈双向波动,汇率价差不断拉大已成常态。因此,对在岸与离岸人民币汇率价差的研究具有十分重要的现实意义。结合理论分析与实证研究,探讨人民币在岸与离岸汇率价差的波动特征,运用VAR模型对汇率价差的影响因素以及传导路径进行实证研究。结果表明:离岸人民币资金存量对汇率价差具有显著的负面影响,在岸与离岸的利率价差与汇率价差呈正向相关,全球投资者风险偏好的变动会导致汇率价差的反向变动,汇率价差对四个因素都进行了冲击传导。最后提出了推进离岸市场建设、增强市场流动性等政策建议。更多还原

【Abstract】 After the reform of exchange rate on August 2015,offshore and onshore RMB exchange rate two-way fluctuation and the spreads widening have become normal. Therefore,it is of great practical significance to study on the onshore and offshore RMB exchange rate spread. This paper discusses the fluctuation characteristics of RMB exchange rates spread on the onshore and offshore,VAR model was applied to do empirical research on determinants of current exchange rate spread. The empirical results showthat: Offshore RMB funds and risk appetite of global investors have a significant negative impact on exchange rate spreads; Interest rate spreads are positively related. And proposes policy suggestions like promote the construction of offshore market,enhance market liquidity.更多还原