管理评论

管理评论 ›› 2020, Vol. 32 ›› Issue (11): 81-91.

• 经济与金融管理 • 上一篇    下一篇

人民币无本金交割远期汇率与在岸人民币汇率关系的实证检验

韦星1, 宁薛平2, 李富有1   

  1. 1. 西安交通大学经济与金融学院, 西安 710061;
    2. 上海对外经贸大学国际经贸学院, 上海 201620
  • 收稿日期:2020-03-25 出版日期:2020-11-28 发布日期:2020-12-05
  • 通讯作者: 宁薛平(通讯作者),上海对外经贸大学国际经贸学院副教授,硕士生导师,博士,博士后
  • 作者简介:韦星,西安交通大学经济与金融学院博士研究生;李富有,西安交通大学经济与金融学院教授,博士生导师,博士。
  • 基金资助:
    国家社会科学基金面上项目（18BJY235）。

Empirical Test of the Relationship between Renminbi NDF and Onshore Renminbi Exchange Rate

Wei Xing1, Ning Xueping2, Li Fuyou1   

  1. 1. School of Economics and Finance, Xi'an Jiaotong University, Xi'an 710061;
    2. School of International Business, Shanghai University of International Business and Economics, Shanghai 201620
  • Received:2020-03-25 Online:2020-11-28 Published:2020-12-05

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摘要： 在岸人民币汇率（简称：CNY）与离岸人民币无本金交割远期汇率（简称：NDF）的关系能反映人民币汇率形成机制改革的成效，同时对如何完善人民币汇率形成机制有借鉴意义。本文采用格兰杰因果检验、BEKK-MGARCH模型分别研究CNY与NDF的报酬溢出效应和波动溢出效应。结果表明，“811”汇率改革前后两个市场的关系发生了明显变化：从报酬溢出的角度来看，从不存在相互引导关系转变为出现双向的报酬溢出关系；从波动溢出的角度来看，汇率改革前CNY市场对NDF市场存在单向的波动溢出，而汇改后这种波动溢出减弱，并且出现反向的波动溢出。基于研究结论，提出针对性的政策建议：制定人民币汇率跟踪机制、放松在岸市场管制、建立在岸人民币NDF市场。

关键词: 人民币NDF, 在岸汇率, 格兰杰因果检验, BEKK-MGARCH模型

Abstract: The relationship between onshore RMB exchange rate (CNY) and offshore non-deliverable forward exchange rate (NDF) can reflect the effectiveness of the reform of RMB exchange rate formation mechanism, and is helpful to improve the RMB exchange rate formation mechanism. The paper uses Granger causality test and BEKK-MGARCH model to study the returns spillover effect and volatility spillover effect of CNY and NDF. The study finds that the relationship between the two markets has changed significantly before and after the “811”exchange rate reform: from the perspective of returns spillover, the relationship between the two markets has changed from no mutual guidance to a two-way returns spillover; from the perspective of volatility spillover, CNY market had one-way volatility spillover to offshore NDF market before the exchange rate reform, but after the exchange rate reform, this volatility spillover weakened and reversed. Based on the empirical results, the paper suggests such policy recommendations as: establishing RMB exchange rate tracking mechanism, relaxing onshore market control, and establishing onshore NDF market.

Key words: RMB NDF, onshore exchange rate, Granger causality test, BEKK-MGARCH model