离岸与在岸人民币汇率联动效应研究

摘要

With the development of Hong Kong offshore RMB exchange rate market , the price system of offshore RMB exchange rate has become gradually perfect .Based on the Granger causality test and BEKK -GARCH (1, 1) model, this paper analyses the price spillover effect and volatility spillover effect between the onshore and offshore RMB exchange rate.Our analysis shows that onshore RMB spot and forward exchange rate can produce significant price spillover effect and volatility spillover effect to offshore exchange rate;NDF can produce significantly price spillover effect and volatility spillover effect to onshore exchange rate;the offshore spot exchange rate has significantly price spillover effects on the on -shore forward exchange rate , but less volatility spillover effect on the onshore spot exchange rate; the offshore spot ex-change rate does not produce price spillover effect on the onshore spot exchange rate , but the volatility spillover effect is remarkable .%随着香港离岸人民币汇率市场的发展，离岸人民币汇率价格体系不断地完善。本文运用Granger因果检验和BEKK-GARCH （1，1）模型，研究了在岸和离岸人民币汇率之间的价格溢出效应和波动溢出效应，结果显示：在岸人民币即期和远期汇率对离岸汇率能够产生较为显著的价格溢出效应和波动溢出效应； NDF汇率对在岸即期和远期汇率有显著地价格溢出效应和波动溢出效应；离岸即期汇率对在岸远期汇率有显著地价格溢出效应，但波动溢出效应较弱；离岸即期汇率对在岸即期汇率未产生价格溢出效应，但波动溢出效应显著。