CAJ | 학술논문

本文的研究结果表明在岸市场依然具有人民币汇率定价中心的性质,主要体现在在岸即期和远期汇率都会对离岸远期汇率的变动有显著的均值溢出效应。而离岸即期市场对在岸即期市场存在较小幅度的均值溢出效应以及三大市场之间已经存在着一定波动和冲击溢出效应,则表明在岸市场已经不是一个完全定价中心。从溢出效应的程度和传递方向来看,稳定在岸人民币汇率定价预期仍然是降低汇率过度波动的关键。
본문적연구결과표명재안시장의연구유인민폐회솔정개중심적성질,주요체현재재안즉기화원기회솔도회대리안원기회솔적변동유현저적균치일출효응。이리안즉기시장대재안즉기시장존재교소폭도적균치일출효응이급삼대시장지간이경존재착일정파동화충격일출효응,칙표명재안시장이경불시일개완전정개중심。종일출효응적정도화전체방향래간,은정재안인민폐회솔정개예기잉연시강저회솔과도파동적관건。
This study found that both onshore RMB spot rate and forward rate had a significant mean spillover effect on the change of offshore RMB forward rate,which indicated that the onshore market remains the pricing center of RMB.However,the empirical results also suggested a relatively smaller mean spillover from offshore spot market to onshore spot market.Meanwhile,there already existed channels for volatility spillovers and shock spillovers between the three markets（CNY market,CNH market and NDF market）.Therefore,we concluded that the onshore market had become an incomplete pricing center of RMB.Viewed from the content and direction of these spillover effects,stabilizing the expectation of onshore RMB rate remained the key to reduce the excessive volatility of RMB exchange rate.