【作者】 赵毅曼；

【导师】 叶立新；

【作者基本信息】 南京理工大学 ， 国际贸易学， 2016， 硕士

【摘要】 近两年,人民币汇率形成机制改革不断取得突破。同时,随着香港离岸人民币中心的建立,人民币离岸市场上的交易种类愈加丰富,交易规模不断庞大。在新的市场格局下,全面分析人民币在岸与离岸外汇市场间的互动与关联性具有重要意义。本文将人民币在岸即期、在岸远期、离岸NDF、香港离岸即期及香港离岸本金交割远期市场均纳入研究框架,在已有文献的基础上,进一步分析人民币在岸与离岸市场之间的关系。文章以外汇市场有效性理论、利率平价理论为基础,探讨了外汇市场间的价格引导机制,介绍了人民币在岸及离岸外汇市场的发展概况,进而结合上述理论对人民币在岸及离岸市场的价格引导关系做出分析。接着,文章阐述了外汇市场价格引导关系的评价方法,通过多种计量方法对人民币在岸及离岸外汇市场价格引导关系进行实证研究,最终发现：在五个样本市场中,离岸NDF市场的价格引导作用最大,在岸即期市场处于第二位,其次是在岸远期市场,而离岸本金交割远期市场、离岸即期市场的价格引导能力比较弱。由此可见,如何提升境内外汇市场的影响力,强化境内外汇市场的本土优势,是我国在未来的汇率制度改革中不得不思考的问题。更多还原

【Abstract】 Recently, the reform of RMB exchange rate mechanism continues to make breakthroughs. Along with the establishment of Hong Kong offshore RMB centre, the trading types of RMB becomes richer and the trading scale is larger and larger. Under the new situation, it has important meanings to analyze the interaction and correlation among the onshore and offshore exchange markets of RMB. This essay takes onshore spot rate, onshore forward rate, NDF rate, offshore spot rate and offshore delivery forward rate of Yuan into consider, and thoroughly analyze the relationship among RMB onshore and offshore foreign exchange markets on the basis of the existing literatures.Setting the theoretical foundation by the foreign exchange market validity and interest rate parity theory, the essay discusses the mechanism and influencing factors about the price guide among foreign exchange markets, introduces the general situation of RMB exchange markets and analyzes the price leading relation among these markets combining the above theories. Then, the essay explains the methods that evaluate the price guide among foreign exchange markets, and applies various quantitative models to analyze the price guiding relationship among the onshore and offshore markets of RMB. Finally, it concludes that the price guiding power of NDF market is the most prominent, onshore spot market takes the second place, which is followed by onshore forward market and offshore delivery forward market. The guiding power of offshore spot market is the weakest among five markets. Therefore, the issue, about how to enhance the influence and local advantage of the onshore exchange markets, is the problem that our country has to resolve in the future.更多还原