【摘要】：2015年“8·11”匯改以來,匯率波動(dòng)區(qū)間不斷擴(kuò)大,由此引發(fā)了多次香港人民幣離岸市場的多空博弈,凸顯了人民幣定價(jià)權(quán)的重要性。參考央行擴(kuò)大匯率波動(dòng)區(qū)間的時(shí)間點(diǎn),采用GARCH-BEKK模型實(shí)證檢驗(yàn)了在不同匯率波動(dòng)區(qū)間下在岸人民幣市場(CNY)和人民幣無本金交割遠(yuǎn)期外匯交易市場(NDF)的匯率聯(lián)動(dòng)效應(yīng),以此分析人民幣定價(jià)權(quán)的動(dòng)態(tài)演變過程。研究發(fā)現(xiàn),匯率波動(dòng)區(qū)間的擴(kuò)大會(huì)強(qiáng)化離岸匯率的主導(dǎo)權(quán),在人民幣定價(jià)權(quán)的爭奪過程中,央行動(dòng)用外匯儲(chǔ)備干預(yù)匯市和收緊離岸人民幣流動(dòng)性都是短期權(quán)宜之計(jì);而建立高效、靈活、富有彈性的人民幣匯率定價(jià)機(jī)制才是長遠(yuǎn)的根本之策。
[Abstract]:Since the "11 August" exchange rate reform in 2015, the range of exchange rate fluctuations has been expanding, which has triggered many short games in the offshore market of the renminbi in Hong Kong, highlighting the importance of the pricing power of the renminbi. Referring to the time point when the central bank expands the range of exchange rate fluctuations, the paper empirically tests the exchange rate linkage effect of (CNY) in onshore RMB market and (NDF) in non-deliverable forward exchange market under different exchange rate volatility ranges by using GARCH-BEKK model. Based on this analysis of the RMB pricing power dynamic evolution process. It is found that the expansion of the range of exchange rate fluctuations will strengthen the dominance of the offshore exchange rate. In the process of competing for the pricing power of RMB, the central bank uses foreign exchange reserves to intervene in the foreign exchange market and tighten offshore RMB liquidity is both short-term expedient; And the establishment of efficient, flexible, flexible RMB exchange rate pricing mechanism is the long-term fundamental strategy.
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本文編號：2388892