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论文编号：	16069
作者编号：	2120243857
上传时间：	2026/6/4 23:55:46
中文题目：	在岸和离岸人民币汇率市场的价格发现研究
英文题目：	Research on Price Discovery in the Onshore and Offshore RMB Exchange Rate Markets
指导老师：	王永进
中文关键字：	在岸人民币；离岸人民币；价格发现；向量误差修正模型；门限模型
英文关键字：	Onshore RMB (CNY); Offshore RMB (CNH); Price Discovery; Vector Error Correction Model (VECM); Threshold Model
中文摘要：	我国汇率市场具有独特的“双轨制”体系，在岸人民币（CNY）与离岸人民币（CNH）市场并存，共同塑造了人民币汇率的整体运行格局。深入研究两个市场的价格发现机制，对于完善汇率市场化改革、防范跨境金融风险及推进人民币国际化具有重要意义。本文以2012年1月4日至2025年12月31日美元兑在岸人民币与离岸人民币的每日收盘价为研究对象，综合运用向量误差修正模型（VECM）、滚动向量误差修正模型、Gonzalo-Granger共同因子模型、Hasbrouck信息份额模型以及门限VECM模型，系统考察了两市场汇率联动的动态演变、外生变量的影响机制及非线性区制转换特征。 研究结果表明：第一，在岸与离岸人民币汇率存在长期稳定的均衡关系，但“8.11”汇改成为定价权转移的关键分水岭，价格发现主导权由在岸市场转移至离岸市场。第二，两个市场存在双向短期引导关系，但离岸市场凭借其开放性和信息效率，始终占据信息传导的优势地位。第三，外生变量对汇率联动的影响具有显著非对称性：离岸市场对美元指数波动和全球避险情绪（VIX）的反应更为敏感，而资本市场收益差对两市场影响强度相当，利差影响则相对有限。第四，汇改后市场联动呈现显著的非线性特征：以汇率价差为门限时，在正常价差区制下市场处于离岸市场主导价格发现的状态，在极端价差区制下误差修正系数均不显著，市场自我修复机制失效；以政府干预强度为门限时，低干预区制下离岸市场主导价格发现，高干预区制下在岸市场重获定价权，干预强度的变化触发了市场角色的结构性转换。 本文从时变性、外生变量影响和非线性区制三个层面系统揭示了人民币汇率的联动规律，为理解汇率定价权演变、优化政策干预以及维护外汇市场稳定提供了有价值的实证支持与决策参考。
英文摘要：	China's exchange rate market operates under a unique dual-track system, where the onshore Renminbi (CNY) and offshore Renminbi (CNH) markets coexist, jointly shaping the overall dynamics of the Renminbi exchange rate. In-depth research into the price discovery mechanisms of both markets is crucial for refining exchange rate marketization reforms, preventing cross-border financial risks, and advancing the internationalization of the Renminbi. This study examines daily closing prices of the USD/CNY exchange rate against both onshore and offshore renminbi from January 4, 2012, to December 31, 2025. It employs a combination of Vector Error Correction Models (VECM), Rolling Vector Error Correction Models, Gonzalo-Granger common factor model, Hasbrouck information share model, and threshold VECM model to systematically examine the dynamic evolution of exchange rate linkage between the two markets, the influence mechanisms of exogenous variables, and the characteristics of nonlinear regime switching. The key findings are as follows: First, a long-term stable equilibrium relationship exists between onshore and offshore RMB exchange rates, but the August 11, 2015 exchange rate reform marked a critical watershed in the transfer of pricing power, shifting the dominance of price discovery from the onshore to the offshore market. Second, a bidirectional short-term guiding relationship exists between the two markets, yet the offshore market consistently holds the advantage in information transmission due to its openness and informational efficiency. Third, exogenous variables exhibit significant asymmetry in influencing exchange rate linkage: the offshore market reacts more sensitively to fluctuations in the US Dollar Index and global risk aversion (VIX), while capital market return differentials affect both markets with comparable intensity, and interest rate differentials have relatively limited impact. Fourth, post-reform market linkage exhibits pronounced nonlinear characteristics: when using exchange rate differentials as a threshold, the offshore market takes the lead in price discovery under the normal spread regime. Under the extreme spread regime, all error correction coefficients are statistically insignificant, implying that the market’s self-stabilizing mechanism breaks down. When using the intensity of government intervention as a threshold, the offshore market dominates price discovery under low intervention regimes, while the onshore market regains pricing power under high intervention regimes. Changes in intervention intensity trigger structural shifts in market roles. This paper systematically reveals the interlinkages of the RMB exchange rate across three dimensions—time-varying characteristics, exogenous variable influences, and nonlinear regime switching—providing valuable empirical support and policy insights for understanding the evolution of pricing authority, optimizing intervention strategies, and maintaining foreign exchange market stability.
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