【摘要】 本文采用2011—2022年离岸市场利率平价偏离(CIP偏离)指标衡量汇率市场有效性，研究了“8·11”汇改等汇率改革政策对外汇市场有效性的影响。本文发现：(1)离岸市场CIP偏离平均为正；(2)“8·11”汇改后CIP偏离在汇率政策偏市场阶段显著下降，而在偏调控阶段则与汇改前无明显差异；(3)离岸与在岸市场CIP偏离存在差异。汇改对CIP偏离的影响机制有二：其一，汇率改革让价格市场化，使得汇率价格在套利作用下向利率平价成立方向移动；其二，汇率改革减少了市场摩擦和不确定性风险，“8·11”汇改后套利限制和市场风险相关变量与CIP偏离之间的关系大幅减弱。离岸市场是跨境交易的主要依托和人民币国际化的关键环节，本文结果补充了汇率改革对离岸市场有效性的影响，为进一步推进人民币国际化、加强汇率和金融市场开放提供了政策参考。更多还原

【Abstract】 With the largest foreign reserves and the third-largest weight in the SDR basket,China’s exchange rate policy has become increasingly important in international trade and the global financial market. In this paper, we assess the impact of reforms of the RMB exchange rate regime on the off-shore FX market efficiency, from the perspective of deviations from covered interest rate parity(CIP). In particular, we examine the magnitude of CIP deviations as well as what drives these deviations under different policy regimes.Given the relatively strict capital controls in China, we focus on the off-shore RMB and calculate the CIP deviations with respect to five major currencies—the US dollar, the euro, the Japanese yen, the Australian dollar, and the British pound—over the2011—2022period. We find that the CIP deviations of the RMB are on average positive. As part of the RMB internationalization effort,the PBC changed the RMB/USD central parity quoting mechanism on August11, 2015, with the intention of enhancing the market determination of the RMB exchange rate. We take this “8·11”reform as the cut-off and examine the level and determinants of CIP deviations before and after this event.We find that the CIP deviations are significantly lower in the period after the “8·11” reform relative to that before the reform. This decline in CIP deviations is mainly driven by the marketoriented policy regimes rather than the regulation-oriented regimes, indicating that the marketoriented exchange rate reform improves the efficiency of the foreign exchange market. In addition,we document two economic mechanisms through which the exchange rate reform influences CIP deviations. First, the exchange rate reform promotes price liberalization, tightening the interest rate parity. Second, the reform reduces market friction and uncertainty associated with government interventions.This paper further examines the potential determinants of CIP deviations at daily and monthly frequencies, which are grouped into three categories:limits to arbitrage, market risk, and supply/demand factors. In the full sample, the impact of those variables on CIP deviations is consistent with previous literature. We find that before the exchange rate reform, all those three groups of variables influenced CIP deviations, and the variables in the group of limits to arbitrage had the most significant impact. However, after the exchange rate reform, the influence of limits to arbitrage related variables was significantly weakened. The influence of market risk-related variables also decreases, but the impact of supply-demand related variables remains unchanged after the exchange rate reform. This is consistent with the assumption that market-oriented exchange rate reform increases the market efficiency of the RMB exchange rate. The exchange rate reform does not only decrease the absolute level of CIP deviation, but also reduces the impact of limits to arbitrage related and market risk related factors through a more market-oriented exchange rate. It indicates that those market frictions that cause CIP deviation may be partially alleviated.The impact of supply and demand factors may not be altered by the reduced market frictions.The offshore market serves as a crucial platform for cross-border transactions and the internationalization of the RMB. The findings of this paper contribute to the understanding of the impact of exchange rate reform on the effectiveness of the offshore market, and shed light on policies for promoting RMB internationalization and enhancing the openness of the financial market.This paper presents several key policy implications. First, it endorses a progressive and prudent approach to market-led exchange rate reform, which entails increasing market involvement in setting exchange rates to deepen and diversify the market. Our research suggests these reforms not only boost offshore market efficiency but also allow exchange rates to more precisely reflect the dynamics of supply and demand, which is crucial for the internationalization of the RMB. Second,the study underscores the need to grow and improve the integration of financial markets. The noted differences in Covered Interest Parity(CIP)between offshore and onshore markets underscore the importance of a more integrated financial market to address trading barriers and speculative risks.Strengthening connections in the financial market is essential for bolstering the RMB’s global presence and liquidity. Finally, the paper stresses the continuous need for macro-prudential regulation to maintain a stable macroeconomic setting. Factors such as short-term capital flows,interest rates, and market volatility have significant impacts on the efficacy of offshore markets.The paper concludes by recommending heightened oversight, enhanced risk management, and greater transparency in the exchange rate market to reduce financial risks and promote stability.更多还原