本文選題：人民幣離岸市場 + 匯率�。� 參考：《首都經(jīng)濟貿易大學》2017年碩士論文

【摘要】：人民幣離岸市場的繁榮發(fā)展已成為人民幣走向國際化的重要抓手。在當前經(jīng)濟全球化的大背景下,研究人民幣在岸與離岸市場匯率溢出效應的問題,能夠促使貨幣當局有效制定貨幣政策與風險管理方案,加強監(jiān)管部門對在、離岸市場的的金融監(jiān)管,從而降低人民幣離岸市場的投機性與不穩(wěn)定性,穩(wěn)定在岸與離岸金融市場的匯率,促進不同市場間匯率關系的協(xié)調發(fā)展,為人民幣國際化的發(fā)展打下堅實的堡壘。本文按照“提出問題—分析問題—解決問題”的思路,首先,梳理了人民幣在岸與離岸金融市場相互作用的基本理論,說明國際金融市場中人民幣在岸與離岸金融市場之間的動態(tài)關聯(lián)機制。其次,采用了理論與實證相結合的方法,通過建立VAR模型與BEKK-GARCH模型分別論述了在岸市場與離岸市場匯率的價格溢出及波動溢出效應,研究結果表明,在價格溢出效應方面,人民幣在岸即期匯率作為整個匯率市場的基礎,處于整個信息的中心,對離岸即期、離岸遠期均有顯著的引導效應;離岸即期對在岸即期、離岸遠期對在岸遠期也均具有顯著的引導效應。在波動溢出效應方面,離岸即期與在岸遠期市場、離岸遠期與在岸遠期之間均存在相互波動溢出效應;而兩個即期市場之間則沒有明顯的波動溢出效應。同時,借鑒國際成功經(jīng)驗—美元的離岸金融市場(歐洲美元、IBFs),追溯其發(fā)展歷程,總結經(jīng)驗教訓,取其精華,為我所用。最后,根據(jù)結論,提出推動新常態(tài)下經(jīng)濟健康發(fā)展、深化在岸金融市場體制改革、拓寬在岸離岸資本循環(huán)渠道與加強在岸離岸金融協(xié)調監(jiān)管的政策建議,為加快人民幣國際化進程發(fā)揮更重要的作用。
[Abstract]:The prosperity and development of RMB offshore market has become an important grasp of RMB internationalization. Under the background of the current economic globalization, studying the spillover effect of RMB exchange rate in the onshore and offshore markets can prompt the monetary authorities to formulate monetary policy and risk management schemes effectively, and strengthen the regulatory departments' response to the exchange rate spillover effects. The financial supervision of the offshore market reduces the speculative and unstable nature of the offshore RMB market, stabilizes the exchange rate between the onshore and offshore financial markets, and promotes the coordinated development of the exchange rate relationship between different markets. For the development of RMB internationalization to lay a solid fortress. According to the idea of "posing problem-analyzing problem-solving problems", this paper firstly combs the basic theory of the interaction between RMB in onshore and offshore financial markets. This paper illustrates the dynamic correlation mechanism between onshore and offshore financial markets in international financial markets. Secondly, using the method of combining theory and practice, this paper discusses the price spillover and volatility spillover effect of exchange rate in onshore market and offshore market by establishing VAR model and BEKK-GARCH model respectively. The research results show that the price spillover effect is significant in the aspect of price spillover effect. As the basis of the whole exchange rate market, the onshore spot exchange rate of RMB is at the center of the whole information. Offshore forward also has significant guiding effect on onshore forward. In terms of volatility spillover effect, there is mutual volatility spillover effect between offshore spot market and onshore forward market, offshore forward and onshore forward, but there is no obvious volatility spillover effect between the two spot markets. At the same time, draw lessons from the international successful experience-dollar offshore financial market (Eurodollar IBFs), trace its development process, sum up the experience and lessons, take its essence, for our own use. Finally, according to the conclusion, the paper puts forward some policy suggestions on promoting the healthy development of economy under the new normal, deepening the reform of onshore financial market system, widening the channels of offshore capital circulation and strengthening the coordinated supervision of onshore offshore finance. In order to speed up the internationalization of the RMB to play a more important role.
【學位授予單位】：首都經(jīng)濟貿易大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.6

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