汇率市场化、人民币国际化与汇率定价权
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摘要
2015年"811"汇改后人民币在岸与离岸市场的汇率定价权之争,深刻反映了央行在维护汇率稳定与推动人民币国际化间的政策冲突与取舍。本文采用门限VECM模型,实证分析"811"汇改后在岸离岸汇率联动关系的变动特征以及央行政策操作对二者关系的影响。结果表明:"811"汇改后人民币汇率定价权旁落离岸市场,离岸汇率引导在岸汇率大幅贬值。为重新掌握人民币定价权、维护汇率稳定,央行面临着汇率市场化、人民币国际化与维护汇率定价权的权衡取舍,当央行加强在岸汇率管制或紧缩离岸人民币流动性时,人民币定价权重回在岸市场,但代价是汇率市场化与人民币国际化进程的倒退。总结"811"汇改以来经验教训,最后该文提出未来协同推进汇率市场化与人民币国际化的相关政策建议。
The struggle for the pricing power of RMB exchange rate between onshore and offshore RMB market after the "811" exchange rate liberalization reform in 2015 has profoundly reflected the policy conflict and trade-off faced by thecentral bank between maintaining exchange rate stability andpromotingRMB internationalization.In this paper,the threshold VECM model is used to empirically investigate the features of the linkage of onshore-offshore exchange rates after the "811" reform and the impact of the central bank's policy operation on onshore-offshore exchange ratelinkage.The result shows that,after the "811" reform,the RMB exchange rate pricing power has been off to the offshore market,and the offshore exchange rate has led to the sharp depreciation of the onshore exchange rate.In order to regain the RMB pricing power and maintain exchange ratestability,the central bank faces the trade-off among exchange rate liberalization,RMB internationalization andpreservingexchange rate pricing power.As the central bank strengthens its control over onshore exchange rates or tightens the offshore RMB liquidity,Onshore market to regain the RMB pricing power,but at the costof theregression of exchange rate liberalizationandRMB internationalization.Summarizing the experiences and lessons since "811" reform,we finally propose the policy suggestions ofcollaboratively promoting the liberalization of exchange rate and the internationalization of RMB.
The struggle for the pricing power of RMB exchange rate between onshore and offshore RMB market after the "811" exchange rate liberalization reform in 2015 has profoundly reflected the policy conflict and trade-off faced by thecentral bank between maintaining exchange rate stability andpromotingRMB internationalization.In this paper,the threshold VECM model is used to empirically investigate the features of the linkage of onshore-offshore exchange rates after the "811" reform and the impact of the central bank's policy operation on onshore-offshore exchange ratelinkage.The result shows that,after the "811" reform,the RMB exchange rate pricing power has been off to the offshore market,and the offshore exchange rate has led to the sharp depreciation of the onshore exchange rate.In order to regain the RMB pricing power and maintain exchange ratestability,the central bank faces the trade-off among exchange rate liberalization,RMB internationalization andpreservingexchange rate pricing power.As the central bank strengthens its control over onshore exchange rates or tightens the offshore RMB liquidity,Onshore market to regain the RMB pricing power,but at the costof theregression of exchange rate liberalizationandRMB internationalization.Summarizing the experiences and lessons since "811" reform,we finally propose the policy suggestions ofcollaboratively promoting the liberalization of exchange rate and the internationalization of RMB.
引文
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13 .李政,梁琪,卜林.人民币在岸离岸市场联动关系与定价权归属研究[J].世界经济,2017,40(05):98-123.
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15 .石建勋,孙亮.人民币汇率定价权之争——基于在岸-离岸汇率的联动关系[J].经济经纬,2017,34(05):49-55.
16 .王芳,甘静芸,钱宗鑫,何青.央行如何实现汇率政策目标——基于在岸—离岸人民币汇率联动的研究[J].金融研究,2016(04):34-49.
17 .修晶,周颖.人民币离岸市场与在岸市场汇率的动态相关性研究[J].世界经济研究,2013(03):10-15.
18 .严兵,张禹,刘娜.人民币离岸与在岸汇率差异及其波动研究[J].世界经济研究,2017(05):12-27.
19 .严佳佳,黎淑珍.人民币定价权的动态演变——基于汇率波动区间的比较分析[J].金融经济学研究,2017,32(04):24-35.
20 .叶亚飞,石建勋.人民币市场汇率定价研究——基于DCC-GARCH模型的实证分析[J].上海经济研究,2016a(06):36-42.
21 .叶亚飞,石建勋.人民币在岸离岸汇率联动关系及其影响因素分析[J].中央财经大学学报,2016b(12):37-44.
22 .朱孟楠,卢熠,闫帅.人民币离岸与在岸市场汇率的动态溢出效应[J].金融经济学研究,2017,32(03):14-24.
2 .Hansen B E,Seo B.Testing for two-regime threshold cointegration in vector error-correction models[J].Journal of econometrics,2002,110(2):293-318.
3 .Johansen S.Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models[J].Econometrica:Journal of the Econometric Society,1991:1551-1580.
4 .Lo M C,Zivot E.Threshold cointegration and nonlinear adjustment to the law of one price[J].Macroeconomic Dynamics,2001,5(04):533-576.
5 .Owyong D,Wong W K,Horowitz I.Cointegration and causality among the onshore and offshore markets for China′s currency[J].Journal of Asian Economics,2015,41:20-38.
6 .Whalley J,Chen H.Are Offshore RMB Arrangements the Basis for a Long-term Exchange Rate System without Convertibility?[J].China&World Economy,2013,21(1):26-46.
7 .Xie C,Zhou Y,Wang G,et al.Analyzing the Cross-Correlation Between Onshore and Offshore RMB Exchange Rates Based on Multifractal Detrended Cross-Correlation Analysis(MF-DCCA)[J].Fluctuation and Noise Letters,2017,16(01):1-20.
8 .Xu H C,Zhou W X,Sornette D.Time-dependent lead-lag relationship between the onshore and offshore Renminbi exchange rates[J].Journal of International Financial Markets Institutions&Money,2017,49:173-183.
9 .陈珂,王萌.在岸与离岸人民币汇率价差影响因素研究[J].财经理论与实践,2017,38(05):7-13.
10 .陈丽,甄峰.香港离岸与在岸人民币套汇问题研究[J].国际金融研究,2017(01):89-96.
11 .戴淑庚,张润苇,余博.人民币在岸汇率与香港离岸汇率联动:多目标政策下的“不可能三角”平衡[J].现代财经(天津财经大学学报),2017,37(04):37-50.
12 .李婧,吴远远,赵啟麟.人民币在岸市场与香港离岸市场汇率溢出效应和联动机制研究:“8.11”汇改前后的比较[J].世界经济研究,2017(09):13-24.
13 .李政,梁琪,卜林.人民币在岸离岸市场联动关系与定价权归属研究[J].世界经济,2017,40(05):98-123.
14 .刘一楠,宋晓玲.人民币汇率“在岸-离岸”随机动态均衡研究[J].金融经济学研究,2017,32(01):3-13.
15 .石建勋,孙亮.人民币汇率定价权之争——基于在岸-离岸汇率的联动关系[J].经济经纬,2017,34(05):49-55.
16 .王芳,甘静芸,钱宗鑫,何青.央行如何实现汇率政策目标——基于在岸—离岸人民币汇率联动的研究[J].金融研究,2016(04):34-49.
17 .修晶,周颖.人民币离岸市场与在岸市场汇率的动态相关性研究[J].世界经济研究,2013(03):10-15.
18 .严兵,张禹,刘娜.人民币离岸与在岸汇率差异及其波动研究[J].世界经济研究,2017(05):12-27.
19 .严佳佳,黎淑珍.人民币定价权的动态演变——基于汇率波动区间的比较分析[J].金融经济学研究,2017,32(04):24-35.
20 .叶亚飞,石建勋.人民币市场汇率定价研究——基于DCC-GARCH模型的实证分析[J].上海经济研究,2016a(06):36-42.
21 .叶亚飞,石建勋.人民币在岸离岸汇率联动关系及其影响因素分析[J].中央财经大学学报,2016b(12):37-44.
22 .朱孟楠,卢熠,闫帅.人民币离岸与在岸市场汇率的动态溢出效应[J].金融经济学研究,2017,32(03):14-24.