【作者】 廖振宇；

【导师】 姚小义；

【作者基本信息】 湖南大学 ， 应用经济学， 2018， 硕士

【摘要】 2015年8月11日,中国人民银行宣布人民币兑美元汇率中间价更多参考上日收盘价,并大幅下调人民币中间价。这次调整虽使得人民币汇率形成机制更加市场化,但在岸汇率在短期内出现了大幅贬值的现象,并出现被离岸市场所引导的现象,这引发了市场对汇率定价权归属问题的讨论。为了更好的理解此次汇率改革的意义并了解汇率定价权的归属,有必要研究在岸汇率市场、香港离岸可交割汇率市场以及离岸无本金交割市场间的引导关系是怎样发展的,而这也是人民币国际化进程中值得研究的重要内容。本文采用最新数据,应用格兰杰因果检验和构建溢出指数的方法对在岸与离岸人民币汇率市场进行研究。首先通过格兰杰因果检验对在岸与离岸市场的报酬溢出效应进行分析,发现离岸对在岸有着单向报酬溢出效应,其中离岸无本金交割市场市场对在岸市场的溢出效应更为稳定。然后,通过溢出指数指标对在岸与离岸市场间的溢出效应程度进行静态与动态的测度。结果表明,离岸市场对在岸市场的溢出效应程度随着汇改的深入而逐渐增加,并且香港离岸可交割市场对在岸市场的影响已经超过离岸无本金交割市场。相信随着资本项目的逐渐开放以及离岸市场的发展,离岸市场对人民币价格决定将起到越来越大的作用。更多还原

【Abstract】 On August 11,2015,the People’s Bank of China announced that the middle price of the yuan against the U.S.dollar was more based on the closing price of the previous day,and the middle price of the yuan was significantly reduced.Although this adjustment made the RMB exchange rate formation mechanism more market-oriented,the onshore exchange rate depreciated sharply in the short-term and appeared to be led by the offshore market.This triggered the market’s discussion on the ownership of exchange rate pricing rights..In order to better understand the significance of this exchange rate reform and to understand the ownership of exchange rate pricing rights,it is necessary to study how the onshore exchange rate market,the Hong Kong offshore exchangeable exchange rate market,and the offshore non-deliverable exchange market have developed their guiding relationship.This is also an important content worth studying in the process of RMB internationalization.This paper adopts the latest data,applies the Granger causality test,and constructs the spillover index method to study the onshore and offshore RMB exchange rate markets.First of all,through the Granger causality test,we have analyzed the remuneration spillover effects of onshore and offshore markets,and found that there is a one-way reward spillover effect of offshore onshore,including the more stable spillover effect of the offshore non-deliverable exchange market on the onshore market.Then,a static and dynamic measure of the extent of spillover effects between onshore and offshore markets is made through the Spillover Index.The results show that the extent of the offshore market’s spillover effect on the onshore market gradually increases with the deepening of the exchange reform,and the impact of the Hong Kong offshore deliverable market on the onshore market has exceeded the offshore non-deliverable exchange market.It is believed that with the gradual opening of capital projects and the development of offshore markets,the offshore market will play an increasing role in determining the price of RMB.更多还原