本文選題：兩岸三地 + 人民幣匯改��； 參考：《西南交通大學》2015年碩士論文

【摘要】：隨著中國成為世界第二大經(jīng)濟體,人民幣國際化便成了一個必然而循序漸進的過程,從2005年人民幣匯改以來人民幣國際化的腳步也漸漸加快,2010年在香港開啟離岸人民幣業(yè)務(wù),香港離岸人民幣匯率遠期的定價也影響著大陸人民幣匯率的即期價格。臺灣地區(qū)與大陸醞釀已久的貨幣清算制度在2012年8月應(yīng)運而生,這些舉措的實施讓兩岸三地的業(yè)務(wù)往來更加通暢和頻繁。在這樣的背景下,本文通過建立VAR模型,并采用相應(yīng)的格蘭杰因果分析,脈沖響應(yīng)函數(shù)和方差分解對匯改前后十年以及最近兩年人民幣匯率波動、港幣匯率波動和新臺幣匯率波動三者之間的關(guān)系進行深入的研究。本文實證分三部分,第一部分研究匯改前后兩岸三地匯率互動關(guān)系的變化,第二部分研究最近兩年人民幣、港幣和新臺幣匯率之間的互動關(guān)系,第三部分是港臺地區(qū)貨幣與美元比價匯率的波動同步性和與人民幣比價匯率的波動同步性對比。第一部分的實證結(jié)果表明,匯改加強了大陸和香港、臺灣匯率市場收益的聯(lián)動性。匯改前后人民幣匯率和港幣、新臺幣匯率波動之間的互動關(guān)系存在較大的差異,匯改讓人民幣匯率對港幣匯率的引導關(guān)系顯著性從4.96%提升到了78.52%,人民幣匯率對新臺幣匯率的引導顯著性從74.53%提升到77.95%；港幣匯率對人民幣匯率的引導顯著性從28.99%提升到92.85%,新臺幣匯率對人民幣匯率波動引導顯著性從7.28%提升至59.17%。第二部分實證選擇大陸與臺灣形成貨幣清算制度之后的日度數(shù)據(jù)進行研究,港幣匯率顯著引導人民幣匯率波動,人民幣匯率對港幣匯率波動的引導不顯著；港幣匯率波動和新臺幣匯率波動互相引導顯著,人民幣貶值有68.79%的可能性引導港幣貶值、79.23%的可能性引導新臺幣先貶值后升值。港幣匯率對人民幣匯率波動的影響要大于新臺幣匯率,新臺幣匯率對港幣匯率波動的影響要大于人民幣匯率,人民幣匯率對新臺幣匯率波動的影響要大于港幣匯率。整個系統(tǒng)內(nèi)人民幣匯率波動的獨立性最強,受港臺的影響不大。另外,與港臺貨幣人民幣比價匯率的波動同步性高于與美元比價的匯率,人民幣業(yè)務(wù)在港臺開展成效顯著,加強了兩個匯率市場的收益聯(lián)動關(guān)系。
[Abstract]:With China becoming the second largest economy in the world, RMB internationalization has become an inevitable and gradual process. Since the RMB exchange rate reform in 2005, the pace of RMB internationalization has gradually accelerated. In 2010, it opened offshore renminbi business in Hong Kong. The forward pricing of the offshore yuan in Hong Kong also affects spot prices on the mainland. The long-simmering currency clearing system between Taiwan and China emerged in August 2012, making business between the three places easier and more frequent. In this context, by establishing the VAR model and using the corresponding Granger causality analysis, the impulse response function and variance decomposition are used to analyze the RMB exchange rate fluctuations before and after the exchange rate reform in the past ten years and in the last two years. The relationship between Hong Kong dollar exchange rate fluctuation and Taiwan dollar exchange rate fluctuation is studied in depth. This paper is divided into three parts. The first part studies the changes of the exchange rate interaction between the two sides before and after the exchange rate reform. The second part studies the interaction between the RMB, Hong Kong dollar and Taiwan dollar exchange rate in the last two years. The third part is the comparison of the fluctuation synchronism between currency and dollar exchange rate in Hong Kong and Taiwan and the fluctuation synchronism with RMB exchange rate. The empirical results of the first part show that the exchange rate reform strengthens the linkage of the exchange rate market returns between the mainland and Hong Kong and Taiwan. Before and after the exchange rate reform, there are great differences in the interaction between the RMB exchange rate and the fluctuations of the exchange rate of Hong Kong dollar and the New Taiwan dollar. The exchange rate reform raised the guiding relationship between the RMB exchange rate and the Hong Kong dollar exchange rate from 4.96% to 78.52%, the guidance significance of the RMB exchange rate to the NT dollar exchange rate increased from 74.53% to 77.95%, and the guidance significance of the Hong Kong dollar exchange rate to the RMB exchange rate rose from 28.99% to 77.95%. Up to 92.85, the Taiwan dollar exchange rate to the RMB exchange rate fluctuations significantly increased from 7.28 percent to 59.17. The second part empirically chooses the daily data after the mainland and Taiwan formed the currency settlement system to carry on the research, the Hong Kong dollar exchange rate obviously induces the RMB exchange rate fluctuation, the RMB exchange rate guidance to the Hong Kong dollar exchange rate fluctuation is not remarkable; The fluctuation of the exchange rate of Hong Kong dollar and the exchange rate of the New Taiwan dollar lead each other significantly. The probability of RMB depreciation is 68.79%, and the probability of the depreciation of the Hong Kong dollar is 79.23%, which leads to the depreciation of the New Taiwan dollar first and then to the appreciation. The impact of the exchange rate of the Hong Kong dollar on the fluctuation of the exchange rate of the RMB is greater than that of the exchange rate of the NT dollar, and the impact of the exchange rate of the NT dollar on the fluctuation of the exchange rate of the Hong Kong dollar is greater than that of the RMB exchange rate. The independence of RMB exchange rate fluctuation is the strongest in the whole system, not influenced by RTHK. In addition, the fluctuation of RMB exchange rate with Hong Kong and Taiwan currencies is more synchronous than that with US dollar exchange rate. RMB business has achieved remarkable results in Hong Kong and Taiwan, and strengthened the relationship between the two exchange rate markets.
【學位授予單位】：西南交通大學
【學位級別】：碩士
【學位授予年份】：2015
【分類號】：F832.6

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本文編號：2004150