CAJ | 학술논문

本文在汇率决定的微观模型基础上,根据境内外制度因素进行了修正,由此总结了境内外人民币汇率差异的可能原因,并进行了实证检验。结果表明,境内外人民币汇率差异具有自动收敛机制。境内外风险偏好的不同是汇率差异的重要原因,这也是因为两个市场的微观结构不同——境外交易主体多元化,而境内外汇交易实际以企业为主,其外汇需求弹性低,导致风险厌恶程度高。境内外人民币汇率波动差异的影响不对称。另外,人民银行干预的解释力度较低,境内外利率差异的影响不明显。本文建议多引入非银行金融机构以多样化境内外汇交易参与者;强化人民币双向波动预期;拓宽境外人民币回流渠道。
본문재회솔결정적미관모형기출상,근거경내외제도인소진행료수정,유차총결료경내외인민폐회솔차이적가능원인,병진행료실증검험。결과표명,경내외인민폐회솔차이구유자동수렴궤제。경내외풍험편호적불동시회솔차이적중요원인,저야시인위량개시장적미관결구불동——경외교역주체다원화,이경내외회교역실제이기업위주,기외회수구탄성저,도치풍험염악정도고。경내외인민폐회솔파동차이적영향불대칭。령외,인민은행간예적해석력도교저,경내외리솔차이적영향불명현。본문건의다인입비은행금융궤구이다양화경내외회교역삼여자;강화인민폐쌍향파동예기;탁관경외인민폐회류거도。
Based on microeconomic model of exchange rate determination, this paper makes modifications in light of the particular onshore institutional factors and summarizes the possible reasons for the disparity of CNY and CNH exchange rates accordingly, followed by empirical tests. The disparity of CNY and CNH exchange rates shows automatic convergence. The heterogeneity of risk appetite between onshore and offshore markets is an import reason, due to the fact that enterprises onshore account for the major part of FX transactions which have low elasticity of FX demand, leading to relatively high risk aversion. The disparity of RMB volatilities between the two markets has asymmetric impact, with the central bank ’s insufficient explanation for its intervention and the insignificant influence of the interest rate spread in the two markets. The paper suggests that more non-banking financial institutions should be introduced to diversify the participants of FX transactions,thus strengthening the expectation of RMB’s two-way fluctuations and widening CNH’s backflow channels.