张涤新1,眭以宁2,丁乙1.境内和离岸人民币外汇市场价格传导和波动溢出效应[J].审计与经济研究,2017,(4):
境内和离岸人民币外汇市场价格传导和波动溢出效应
  
DOI:
中文关键词:  外汇市场  CNY市场  NDF市场  CNH市场  国际金融市场  在岸人民币  离岸人民币  汇率波动
英文关键词:foreign currency market  CNY market  NDF market  international financial market  external derivative market  onshore RMB  offshore RMB  exchange rate fluctuation
基金项目:国家自然科学基金资助项目(71371095,71271108)
作者单位
张涤新1,眭以宁2,丁乙1 1. 南京大学 经济学院江苏 南京 2100932. 国泰君安证券上海 201201 
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中文摘要:
      ]从不同经济发展阶段的视角,研究CNY、CNH和NDF市场间的价格传导机制,检验其均值溢出效应及风险溢出效应的存在性,发现并解释其异质特征,剖析CNH市场对CNY市场、NDF市场对CNH市场价格引导作用的微观机理,给出了实证证据。研究发现:这三个市场的波动丛集现象显著且逐渐趋弱;随着时间推移,当下波动对未来市场波动的影响趋缓,但风险和损失对市场冲击的持续期变长。研究还表明:境内外人民币即期汇差存在自动收敛的机制,价格将趋向一致,尽管汇差的收敛速度和波动分别随时间推移加快和收窄,但收敛缓慢、波动较大且在一段时间内保持较高水平,预期和套利机制仍不能充分发挥市场信息传导功能。CNY市场缺乏对离岸CNH市场和NDF市场的价格引导作用,人民币汇率价格从离岸向境内市场传递,离岸市场对境内市场的价格发现功能随人民币市场化和国际化发展逐渐完善,但溢出效应存在滞后性且反馈周期较长。
英文摘要:
      From the perspective of different economic developmental stages,we first make a study of the price transmission mechanism among the market of CNY,CNH and NDF and examine the existence of their mean value spillover effect and risk spillover effect.Then with empirical evidence,we try to find and explain their heterogeneous characteristics of micro system and make an analysis of the induction impact of CNH market on CNY market and NDF market on CNH market.The results find that:the fluctuation clusters of the three markets is very apparent and decreasing gradually;as time goes on,the impact of the current fluctuation on the future market is slowing down,but the period of risk and loss shock on the market will become longer.Our study also shows that there exists a self adjusting mechanism in the RBM time currency difference and the difference is becoming convergent.Although the disappearing speed of currency difference and fluctuation increases or decreases as the time goes on,the slow disappearance and sharp fluctuation will keep at a higher level for a certain period of time,and the expectation and arbitrage mechanism still does not play a role in the function of the market information transmission.Lack of the price guidance of CNY market for the offshore CNH market and NDF market,the RMB exchange rate transmits from the offshore market to the domestic market.With the development of RMB marketization and internationalization,the price discovery function of offshore market on the domestic market is getting perfect,but there is a hysteresis and long feedback period in such spillover effect.
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