【作者】 王岩；

【导师】 孙音；

【作者基本信息】 东北财经大学 ， 金融学， 2019， 硕士

【摘要】 香港离岸人民币市场自2010年成立以来迅速发展,离岸人民币资金池不断壮大,现如今已成为全球最大的离岸人民币市场。根据国际经验显示,离岸金融市场的发展和完善是一国金融全球化的重要标志,建立成熟的人民币离岸市场已成为推进人民币国际化的重要战略布局,人民币在国际货币市场上的投放与回流,均需仰仗人民币离岸市场。然而,随着香港人民币离岸市场的发展和完善,人们币在岸市场与离岸市场之间联动的渠道越来越丰富,汇率的关联的程度也越来越紧密,尤其是在8.11汇改以后,离岸市场汇率对在岸市场汇率的引导作用逐渐增强,有抢夺人民币汇率定价权的趋势,同时套利和套汇等行为对在岸市场金融体系和金融安全产生一定的冲击。研究人民币在岸市场与离岸市场汇率的联动性对稳固人民币定价权、加强离岸市场的建设、完善人民币在岸市场的改革、促进人民币国际化进程和防范金融风险等均具有十分重要的意义。本文首先阐述了选题的背景和意义,说明了此选题研究的重要性和实用性。在对有关人民币在岸与离岸市场的相关文献进行了梳理后,阐述了本文的研究内容和框架以及研究的创新点和不足;其次,本文详尽介绍了人民币在岸市场和香港离岸市场的发展状况,说明了离岸市场发展的迅速和必然趋势,同时采用理论分析的方法,通过对利率平价理论和购买力平价理论的介绍,在汇率决定理论的基础上分析在岸与离岸市场汇率的联动机理;再次,采用实证分析的方法,通过格兰杰因果检验,得出了人民币在岸即期汇率(CNY)、香港离岸人民币即期汇率(CNH)与香港无本金交割远期汇率(NDF)间具有相互引导的作用,通过建立DCC-GARCH模型,得出了 CNY、CNH和NDF之间的动态相关性,同时选取8.11汇改、在岸与离岸即期汇差、中港利差、VIX指数等为影响因素变量,建立SVAR模型检验影响因素对汇率间动态相关性的影响程度;最后,基于以上的研究结论提出了如何增强在岸与离岸市场联动性、加快发展人民币离岸市场以更好推动人民币国际化的政策建议。通过实证分析,本文得出结论:第一、通过格兰杰因果检验发现,8.11汇改前CNY能够单向引导CNH,而汇改后CNH能够单向引导CNY;CNH和NDF在汇改前后均可以相互引导;汇改前CNY能够单向引导NDF,汇改后CNY和NDF能够相互引导。NDF市场的引导能力最强,CNH市场次之,CHY市场的引导能力最弱。第二、通过DCC-GARCH模型研究发现,CNY、CNH和NDF三个市场汇率间具有高度的正相关性,并且CNH和NDF汇率的相关性最强,CNY和CNH汇率的相关性其次,CNY和NDF汇率的相关性最弱,并且在8.11汇改以后,三个市场间的关联性均显著增强。第三、以CHY和CNH汇率相关性为代表,汇率相关性的滞后项和汇率改革对汇率相关性具有正向影响,汇差、利差和VIX指数对汇率联动性具有负向的影响,三者对联动性变动的贡献程度都较低。如何增强人民币在岸与离岸市场汇率的联动性,积极的引导人民币定价,更好的建设离岸市场,以推动人民币国际化,本文提出以下建议:推进人民币汇率形成机制改革和利率市场化改革,同时拓宽在岸与离岸人民币循环渠道,加强在岸与离岸市场间的合作。更多还原

【Abstract】 Hong Kong’s offshore renminbi market has grown rapidly since it was established in 2010,and the pool of offshore renminbi capital has grown to become the largest offshore renminbi market in the world.According to international experience,the development and maturity of the offshore market is an important symbol of a country,s financial globalization,and the establishment of a sound offshore RMB market has become an important strategic layout to promote the internationalization of RMB.The release and return of RMB in the international currency market all depend on the offshore RMB market.However,the construction of Hong Kong’s renminbi offshore market channels of communication between onshore and offshore market is more and more rich,the exchange rate of the degree of correlation is becoming more and more close,especially after the 8.11 yuan reform,the offshore market exchange rate to the onshore market exchange rate guide strengthen gradually,have seized the trend of RMB exchange rate pricing power,at the same time,such as arbitrage and arbitrage behavior of onshore has certain impact of the financial system and financial security.It is of great significance to study the linkage between the onshore and the offshore market in order to stabilize the pricing power of the RMB,strengthen the construction of the offshore market,improve the reform of the onshore market,promote the internationalization of the RMB and prevent financial risks.This paper first expounds the background and significance of the topic,and explains the importance and practicability of this topic.After sorting out the relevant literatures about the onshore and offshore market of RMB,this paper expounds the research content and framework,as well as the innovation points and shortcomings of the research.Secondly,this paper introduces in detail the renminbi onshore and offshore market development status,the offshore market rapidly and the inevitable trend of development,at the same time,adopt the method of theoretical analysis,based on the evaluation theory and the introduction of PPP theory,interest rates in the exchange rate determination theory based on the analysis of the linkage mechanism of onshore and offshore market exchange rate;Again,adopt the method of empirical analysis,through granger causality test,it is concluded that the onshore yuan at the spot exchange rate at the spot exchange rate(CNY),Hong Kong offshore RMB(CNH)and Hong Kong non-deliverable forwards(NDF)exchange rates between has a guiding role in each other,through the establishment of DCC-GARCH economic model,and got the dynamic correlations between CNY,CNH and NDF,select 8.11 yuan at the same time,Hong Kong,onshore and offshore spot rate spreads,the VIX as factors influencing variables,such as establishing SVAR model test of the influence degree of the influence factors on the dynamic correlation between exchange rate;Finally,based on the above research conclusions,the paper puts forward policy Suggestions on how to enhance the linkage between the onshore and offshore markets and accelerate the development of the offshore market of RMB so as to better promote the internationalization of RMB.Through the above analysis,this passage reaches the following conclusions:first,it is found by granger causality test that CNY can unidirectional guide CNH before the exchange rate reform on 8.11,while CNH can unidirectional guide CNY after the exchange rate reform.CNH and NDF can guide each other before and after the exchange rate reform.CNY can guide NDF one-way before the exchange rate reform,and CNY and NDF can guide each other after the exchange rate reform.NDF market has the strongest guiding ability,followed by CNH market,and CHY market has the weakest guiding ability.Second,through th,e study of dcc-garch model,it was found that there was a high positive correlation between CNY,CNH and NDF exchange rates,and the correlation between CNH and NDF exchange rates was the strongest.Next,the correlation between CNY and CNH exchange rates was the weakest.Third,represented by CHY and CNH exchange rate correlation,lagged terms of exchange rate correlation and exchange rate reform have a positive impact on exchange rate correlation,while exchange rate differentials,interest rate differentials and VIX index have a negative impact on exchange rate linkage,all of which have a low degree of contribution to linkage change.How to enhance the correlation of onshore and offshore market exchange rate,actively guide the yuan pricing,better for the construction of the offshore market,to promote the internationalisation of the renminbi,this paper puts forward the following Suggestions:advancing the reform of RMB exchange rate formation mechanism and interest rate marketization reform,widen the channel of the onshore and offshore renminbi circulation at the same time,strengthen the cooperation between the onshore and offshore markets.更多还原