【作者】 陈星；

【导师】 吴志明；

【作者基本信息】 湖南大学 ， 金融学， 2013， 硕士

【摘要】 目前，中国正在推进人民币国际化进程以及进行金融市场化改革，而发展香港离岸人民币市场是实施人民币国际化战略的措施之一。在推进香港离岸人民币市场发展的同时，研究境内外人民币汇率动态关联性，实时监控境外人民币市场对境内市场的价格冲击，对稳定和发展境内外汇市场、有序推进汇率市场化改革，掌握人民币汇率定价权具有重大理论和现实意义。本文将香港离岸人民币即期市场纳入研究范围内，在以前学者工作的基础上，从以下两个方面作进一步的研究：第一，从报酬溢出效应的角度，探讨哪个市场对其他市场具有价格引导能力，掌握人民币汇率定价权，处于人民币汇率信息中心地位。第二，从波动溢出效应的角度，分析境内外外汇市场间是否存在相互的价格波动冲击。鉴于以上研究内容，本文在汇率动态关联性理论以及外汇市场微观结构的基础上，使用格兰杰因果关系检验、脉冲效应分析方法以及二元GARCH-BEKK模型对境内人民币即期市场、境内远期市场、香港离岸人民币即期市场以及境外NDF市场的汇率动态关联性进行研究。实证结果表明：从报酬溢出效应的角度来看，境内人民币即期汇率对香港离岸人民币即期汇率及境外NDF价格均产生报酬溢出效应，境内人民币即期市场掌握了人民币汇率定价权，处于人民币汇率信息中心地位。与此同时，境内远期汇率仍旧参考境外市场定价。从波动溢出效应的角度来看，香港离岸人民币即期汇率对境内人民币即期汇率产生波动溢出效应。基于实证结果，本文认为，境内金融监管机构一方面在推进汇率市场化等改革的过程中，应有效防范境外对境内外汇市场的价格波动冲击。另一方面，应加快发展境内外汇衍生品市场，培养其自主定价能力，使其充分发挥外汇衍生品自身的规避风险，进行保值及增值的功能。更多还原

【Abstract】 At present, China is pushing forward the process of internationalization of theRMB as well as financial market reform, and the development of Hong Kong’soffshore RMB market is one of the measures that contribute to the implementation ofRMB internationalization strategy. In promoting Hong Kong’s offshore RMB marketdevelopment, research on the dynamic relationship between onshore and offshoreRMB exchange rate and real-time monitoring offshore RMB market price shocks onthe domestic market has great theoretical and practical significance on the stabilityand development of RMB market, promotion of exchange rate market-orientedreforms in an orderly way and mastery of the RMB exchange rate pricing power.This paper includes the Hong Kong offshore RMB spot market within the studyarea. Based on the works of scholars in the past, this paper does further research inthe following two aspects: Firstly, from the perspective of return spillovers, it’s toexplore which markets master the RMB exchange rate pricing power and influenceother markers pricing, being in the center of RMB exchange rate information.Secondly, from the perspective of volatility spillover, it’s to analyze the impact ofprice fluctuations among different RMB markets.In view of the above research, based on foreign exchange rate dynamicsrelevance theory and foreign exchange market microstructure, this paper makes anempirical study on the dynamic relationship among CNY, CNYDF, CNH and NDF byGranger causality test, impulse-response function and MGARCH-BEKK model. Theempirical results show that from the perspective of return spillover, the onshore spotmarket has returns spillover effect on both CNY and NDF, which indicate that theonshore spot market has the RMB exchange rate pricing power and hence is at thecenter of the RMB exchange rate information. Meanwhile, the CNYDF rates stillrefer to overseas market price. From the perspective of volatility spillover, CNHhas volatility spillover effect on the onshore spot market.Based on empirical results, this paper argues that on the one hand, in theprocess of domestic foreign exchange rate market-oriented reform, financialregulatory authority should effectively prevent the impact of price fluctuations onthe onshore RMB markets from overseas. On the other hand, it should accelerate thedevelopment of domestic foreign exchange derivatives market, help them to manipulate their own pricing power and implement the function of avoiding foreignexchange risk and realizing the preservation and appreciation of capital.更多还原