作　　者： (翟晓英）; (于珺）;

机构地区： 山西大学管理与决策研究所,山西太原030006

出　　处： 《财经论丛》 2017年第8期44-54,共11页

摘　　要： 本文创新性地构建了由在岸人民币市场即期汇率(CNY)、香港离岸市场人民币即期汇率(CNH)、境外远期无本金交割市场6个月期汇率(NDF6)及1年期汇率(NDF12)、在岸远期6个月期汇率(DF6)及1年期汇率(DF12)组成的人民币汇率系统。然后,运用单位根检验、协整检验、Granger因果检验和GARCH模型等分别从平稳性、协整性、报酬溢出效应和波动溢出效应等方面对人民币汇率系统内的在岸即期汇率、离岸即期汇率、在岸远期汇率和离岸远期汇率之间的关联性进行了实证研究。研究发现,CNH对CNY存在报酬溢出效应,二者之间存在双向的波动溢出效应;CNH、CNY、NDF6和DF6间的关联性可能大于CNH、CNY、NDF12和DF12间的关联性。 This paper establishes a RMB exchange rate system including spot exchange rate of onshore RMB market（ CNY）,spot exchange rate of Hongkong offshore RMB market（ CNH）,forward rate in non deliverable forward market over 6months and 1 year（ NDF6 and NDF12） forward rate in the onshore market over 6 months and 1 year（ DF6 and DF12）. In the empirical studies,we use unit root test,cointegration test,Granger causality test and MVGARCH model respectively for stationarity,cointegration,Granger causality,volatility spillover effect and other aspects to test the dynamic relationship among different exchange rates. We conclude that CNH has a compensation spillover effect on CNY,and there exists a two-way volatility spillover effect between CNH and CNY,and the relevance among CNH,CNY,NDF6,DF6 may be greater than the relevance among CNH,CNY,NDF12,DF12. At last,based on these conclusions,we proposes some suggestions.

关 键 词： 香港离岸人民币市场 在岸人民币市场 即期汇率 远期汇率 溢出效应