摘要
本文运用DCC-GARCH模型和VAR-GARCH-BEKK模型相印证,分阶段建模,讨论CNY市场、NDF市场和CNH市场三个不同人民币报价在均值和波动率上的溢出效应,并考虑即期和不同远期间的交叉互动关系。实证结果表明:随着人民币跨境使用的推进,均值的溢出效应从CNY和NDF影响CNH为主,逐渐过渡到双向溢出和CNH作用增强,且CNH和NDF间的溢出方向反转,CNH引导性明显提升;波动率则多保持或转变为较强的双向溢出效应;人民币离岸与在岸市场间的互动关系明显增强。未来布局全球离岸市场的同时,应重视市场间的风险传导机制,增强香港市场及其报价的离岸中心地位,以降低资本项目完全开放的风险。
Based on a DCC-GRACH model and a VAR-GARCH-BEKK model, this paper empirically explores the mean and volatility spillover effects among three RMB markets, i.e., CNY market, NDF market and CNH market, and examines the inter-linkages between spot rates and forward rates by splitting the entire sample period into three sub-periods. The results indicate that: firstly, with the promotion of the development of RMB cross-border transactions, the pattern of mean spillover has changed, i.e., the pattern that CNY and NDF markets influenced the CNH market unilaterally has changed to bidirectional influences. Secondly, referring to volatility, the pattern stays or transforms into two-way spillover. Finally, the inter-linkages between RMB onshore and offshore markets have strengthened. As a result, when it comes to the future of RMB offshore markets, the authority should pay more attention to risk transmission among markets, and enhance Hong Kong the status as RMB offshore market center so as to reduce the risk of capital account liberalization.
出处
《金融监管研究》
2016年第10期1-22,共22页
Financial Regulation Research
基金
中国博士后科学基金特别资助"货币竞争视角下的人民币国际化"(2012T50193)
北京高等学校青年英才计划项目(YETP0226)的阶段性成果
中国人民大学"统筹支持一流大学和一流学科建设引导专项资金"的支持
