商业研究

商业研究

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在岸-离岸人民币即期汇率动态联动关系研究 ——基于时变参数状态空间模型的分析

孙树强1,姜伟2   

  1. (1.中国人民银行 沈阳分行，沈阳 110001；2.青岛大学 经济学院，山东 青岛 266100)
  • 收稿日期:2017-08-17 出版日期:2018-01-25
  • 作者简介:孙树强（1983-），男，吉林公主岭人，中国人民银行沈阳分行职员，经济学博士，研究方向：汇率、货币政策；姜伟（1975-），男，山东青岛人，青岛大学经济学院副教授，理学博士，研究方向：行为金融与金融工程、动态经济分析。

A Study of the Dynamic Linkage Relationship between Onshore and Offshore RMB Spot Exchange Rate: An Analysis based on Time-varying Parameter State Space Model

SUN Shu-qiang1,JIANG Wei2   

  1. （1. Shenyang Branch, The People′s Bank of China，Shenyang 110001,China; 2. School of Economics, Qingdao University, Qingdao 266100,China）
  • Received:2017-08-17 Online:2018-01-25

摘要： 自香港离岸市场人民币汇率（CNH）形成以来，关于在岸人民币兑美元汇率（CNY）与香港离岸人民币兑美元汇率之间关系的研究，多数认为在岸人民币汇率对离岸汇率具有引导关系。随着内地与香港之间人民币流通渠道不断拓宽，两地之间汇率联动关系的动态变化是一个十分重要的问题。本文运用时变参数的状态空间模型研究CNY与CNH的动态联动关系：带断点的格兰杰因果关系检验结果显示，在样本初期阶段CNY对CNH有引导关系，随后两者之间相互引导，近期CNH对CNY具有引导关系；时变参数的状态空间模型显示，CNH对CNY的影响逐渐增强；考察在岸离岸利差对汇率影响的结果显示，在岸离岸利差增大会导致离岸汇率贬值和在岸汇率升值。本文的主要贡献在于研究方法规避了静态系数回归模型的缺点。

关键词: CNY, CNH, 格兰杰因果关系, 状态空间模型

Abstract: Since the formation of RMB exchange rate of Hong Kong offshore market (CNH), the most study of domestic currency against the dollar (CNY) and CNH think that CNY has a leading role. With the continuous widening of RMB circulation channels between Mainland China and Hong Kong, the dynamic change of exchange rate linkage between the two places is a very important issue. In this paper, the dynamic linkage relationship between CNY and CNH is studied by using the time-varying parameters state space model: the results of Granger Causality Test with breakpoint show that CNY has a guiding relationship to CNH in the early stage of the sample, and then the two are guided by each other, recently, CNH has a guiding relationship with CNY; the state space model of time-varying parameters shows that the influence of CNH on CNY gradually increases; the study of the effect of onshore-offshore rate differentials on the exchange rate shows that an increase in offshore interest rate will lead to the depreciation of the offshore exchange rate and the appreciation of the onshore exchange rate. The main contribution of this paper is the research method avoids the disadvantages of the static coefficient regression model.

Key words: CNY, CNH, Granger causality relationship, state space model