摘要
本研究利用GARCH-MIDAS模型分别研究了基本面变量、政治经济环境变量、投资者关注度和政策变量对在岸与离岸人民币汇率价差波动的影响。结果表明基本面变量如中美利差与在岸离岸人民币汇差波动是负向影响关系,而人民币贬值预期与该汇差波动是正向影响关系;政治经济环境变量如经济政策不确定性、地缘政治风险,投资者关注度变量如国内和国际投资者关注度与该汇差波动是正向影响关系;政策变量如人民币兑美元汇率中间价机制改革和人民币国际化进程与该汇差波动是正向影响关系。基于以上结论本文建议为了降低在岸离岸汇差的波动,采取针对性措施缓和地缘合作氛围和经济政策不确定性的影响,对国内和国际投资者关注带来的冲击加以重视,对在岸离岸汇差进行宏观审慎调节。
This study uses garch-midas model to study the effects of fundamental variables,political and economic environment variables,investor attention and policy variables on the fluctuation of onshore and offshore RMB exchange rate spread.The results show that fundamental variables such as the interest rate spread between China and the United States and the fluctuation of onshore and offshore RMB exchange rate spread are negative,while the expectation of RMB devaluation is positive;Political and economic environment variables such as economic policy uncertainty and gcopolitical risk,and investor attention variables such as domestic and international investor attention have a positive relationship with the fluctuation of the exchange difference;Policy variables such as the reform of the central parity mechanism of RMB against the US dollar and the process of RMB internationalization have a positive impact on the fluctuation of the exchange difference.Based on the above conclusions,this paper suggests that in order to reduce the fluctuation of onshore and offshore exchange differences,targeted measures should be taken to mitigate the impact of geo cooperation atmosphere and economic policy uncertainty,pay attention to the impact brought by the attention of domestic and international investors,and conduct macro-exa mination and careful adjustment of onshore and offshore exchange differences.
作者
李小平
范丽爽
Xiaoping LI;Lishuang FAN(Shanghai Normal University,Shanghai 200234,China)
出处
《金融管理研究》
2023年第1期107-127,共21页
The Journal of Finance and Management Research
基金
国家社会科学基金一般项目“市场交易视角下的人民币汇率微观决定机制研究”(批准号19BJL122)
作者简介
李小平,女,1980-,上海师范大学商学院教授,硕士生导师,研究领域:汇率决定;范丽爽,女,1997.3-,数量经济学专业硕士研究生,上海师范大学商学院,研究领域:宏观金融。
