|
|
|
| Does 811 Exchange Rate Reform Enhance the Market-Orientation and Benchmark Status of the Central Parity Rate? |
| LI Zheng
|
| School of Economics, Tianjin University of Finance and Economics |
|
|
|
|
Abstract This paper uses the dynamic spillover index based on cointegrated VAR model for the first time, to evaluate the influence of 811 Exchange Rate Reform comprehensively, and to examine the effectiveness of 811 Exchange Rate Reform quantitatively. Our results show that, from the beginning of 2013 to 811 Exchange Rate Reform, the directional spillover of the central parity declined continuously, and its market-orientation and benchmark level decreased constantly. So it is very necessary to choose the right time to improve quotation of the central parity. After 811 Exchange Rate Reform, the overall spillover of exchange rate system of RMB against US dollar, the directional spillover received by the central parity from all other prices, and the directional spillover transmitted by the central parity to all other prices displayed a clear upward trend. At the same time, the mutual spillover structure between the central parity and single exchange rate also changed significantly and the effects of onshore CNY spot and future markets further highlighted. Therefore, 811 Exchange Rate Reform has achieved the desired effect, the linkage level of the entire system increased substantially, the market-orientation and benchmark status of the central parity has been enhanced. At present, there is no difference between the size of the central parity receives information spillover and that of other market prices, the market-orientation level of the central parity can meet the needs of the benchmark exchange rate. However, although the external spillover of the central parity improved obviously after 811 Exchange Rate Reform, compared with other market prices, the ability that the central parity influences other prices is weaker. That is to say, the benchmark level of the central parity should be further enhanced, and this is the direction of further reform.
|
|
Received: 19 July 2016
Published: 18 January 2018
|
|
|
|
|
| [1] |
戴国强和梁福涛,2006,《中国金融市场基准利率选择的经验分析》,《世界经济》第4期,第3~11页。
|
|
戴国强和梁福涛,2006,《中国金融市场基准利率选择的经验分析》,《世界经济》第4期,第3~11页。
|
| [2] |
方意和方明,2012,《中国货币市场基准利率的确立及其动态关系研究》,《金融研究》第7期,第84~97页。
|
|
方意和方明,2012,《中国货币市场基准利率的确立及其动态关系研究》,《金融研究》第7期,第84~97页。
|
| [3] |
管涛,2016,《尊重价值规律:人民币汇率形成机制改革未来之出路》,《金融研究》第2期,第113~120页。
|
|
管涛,2016,《尊重价值规律:人民币汇率形成机制改革未来之出路》,《金融研究》第2期,第113~120页。
|
| [4] |
黄学军和吴冲锋,2006,《离岸人民币非交割远期与境内即期汇率价格的互动:改革前后》,《金融研究》第11期,第83~89页。
|
|
黄学军和吴冲锋,2006,《离岸人民币非交割远期与境内即期汇率价格的互动:改革前后》,《金融研究》第11期,第83~89页。
|
| [5] |
李政、卜林和郝毅,2016,《我国股指期货价格发现功能的再探讨——来自三个上市品种的经验证据》,《财贸经济》第7期,第79~93页。
|
|
李政、卜林和郝毅,2016,《我国股指期货价格发现功能的再探讨——来自三个上市品种的经验证据》,《财贸经济》第7期,第79~93页。
|
| [6] |
梁琪、李政和郝项超,2015,《中国股票市场国际化研究:基于信息溢出的视角》,《经济研究》第4期,第150~164页。
|
|
梁琪、李政和郝项超,2015,《中国股票市场国际化研究:基于信息溢出的视角》,《经济研究》第4期,第150~164页。
|
| [7] |
梁琪、张孝岩和过新伟,2010,《中国金融市场基准利率的培育——基于构建完整基准收益率曲线的实证分析》,《金融研究》第9期,第87~105页。
|
|
梁琪、张孝岩和过新伟,2010,《中国金融市场基准利率的培育——基于构建完整基准收益率曲线的实证分析》,《金融研究》第9期,第87~105页。
|
| [8] |
伍戈和裴诚,2012,《境内外人民币汇率价格关系的定量研究》,《金融研究》第9期,第62~73页。
|
|
伍戈和裴诚,2012,《境内外人民币汇率价格关系的定量研究》,《金融研究》第9期,第62~73页。
|
| [9] |
项卫星和李宏瑾,2014,《货币市场基准利率的性质及对Shibor的实证研究》,《经济评论》第1期,第107~117页。
|
|
项卫星和李宏瑾,2014,《货币市场基准利率的性质及对Shibor的实证研究》,《经济评论》第1期,第107~117页。
|
| [10] |
徐剑刚、李治国和张晓蓉,2007,《人民币NDF与即期汇率的动态关联性研究》,《财经研究》第9期,第61~68页。
|
|
徐剑刚、李治国和张晓蓉,2007,《人民币NDF与即期汇率的动态关联性研究》,《财经研究》第9期,第61~68页。
|
| [11] |
尹力博和柳依依,2016,《中国商品期货金融化了吗?——来自国际股票市场的证据》,《金融研究》第3期,第189~206页。
|
|
尹力博和柳依依,2016,《中国商品期货金融化了吗?——来自国际股票市场的证据》,《金融研究》第3期,第189~206页。
|
| [12] |
赵胜民、谢晓闻和方意,2013,《人民币汇率定价权归属问题研究:兼论境内外人民币远期外汇市场有效性》,《经济科学》第4期,第79~92页。
|
|
赵胜民、谢晓闻和方意,2013,《人民币汇率定价权归属问题研究:兼论境内外人民币远期外汇市场有效性》,《经济科学》第4期,第79~92页。
|
| [13] |
Anghel, L.C., F. Pinzaru, M. Dinu, and L. Treapat. 2014. “Fixing the Central Parity and the Evolution of the Currency within the Exchange Rate Mechanism II in the Countries that Joined the Euro Zone”Management Dynamics in the Knowledge Economy, 2(1):21~40.
|
|
Anghel, L.C., F. Pinzaru, M. Dinu, and L. Treapat. 2014. “Fixing the Central Parity and the Evolution of the Currency within the Exchange Rate Mechanism II in the Countries that Joined the Euro Zone”Management Dynamics in the Knowledge Economy, 2(1):21~40.
|
| [14] |
Bessler, D.A., and J. Yang. 2003. “The Structure of Interdependence in International Stock Markets”Journal of International Money and Finance, 22(2):261~287.
|
|
Bessler, D.A., and J. Yang. 2003. “The Structure of Interdependence in International Stock Markets”Journal of International Money and Finance, 22(2):261~287.
|
| [15] |
Cheung, Y., C. Hui, and A. Tsang. 2016. “The Renminbi Central Parity: An Empirical Investigation”CESifo Working Paper No. 5963.
|
|
Cheung, Y., C. Hui, and A. Tsang. 2016. “The Renminbi Central Parity: An Empirical Investigation”CESifo Working Paper No. 5963.
|
| [16] |
Cheung, Y., and D. Rime. 2014.“The Offshore Renminbi Exchange Rate: Microstructure and Links to the Onshore Market” Journal of International Money and Finance, 49, Part A: 170~189.
|
|
Cheung, Y., and D. Rime. 2014.“The Offshore Renminbi Exchange Rate: Microstructure and Links to the Onshore Market” Journal of International Money and Finance, 49, Part A: 170~189.
|
| [17] |
Diebold, F.X., and K. Yilmaz. 2012.“Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers” International Journal of Forecasting, 28(1):57~66.
|
|
Diebold, F.X., and K. Yilmaz. 2012.“Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers” International Journal of Forecasting, 28(1):57~66.
|
| [18] |
Diebold, F.X., and K. Yilmaz. 2009.“Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets” Economic Journal, 119(534):158~171.
|
|
Diebold, F.X., and K. Yilmaz. 2009.“Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets” Economic Journal, 119(534):158~171.
|
| [19] |
Ding, D.K., Y. Tse, and M.R. Williams. 2014.“The Price Discovery Puzzle in Offshore Yuan Trading: Different Contributions for Different Contracts” Journal of Futures Markets, 34(2):103~123.
|
|
Ding, D.K., Y. Tse, and M.R. Williams. 2014.“The Price Discovery Puzzle in Offshore Yuan Trading: Different Contributions for Different Contracts” Journal of Futures Markets, 34(2):103~123.
|
| [20] |
Engle, R.F., and C.W.J. Granger. 1987.“Co-Integration and Error Correction: Representation, Estimation, and Testing” Econometrica, 55(2):251~276.
|
|
Engle, R.F., and C.W.J. Granger. 1987.“Co-Integration and Error Correction: Representation, Estimation, and Testing” Econometrica, 55(2):251~276.
|
| [21] |
Giannellis, N., and G.P. Kouretas. 2009. “From the Cyprus Pound to the Euro: How close is the Central Parity Rate to the Equilibrium Rate?”Central Bank of Cyprus Workshop Papers.
|
|
Giannellis, N., and G.P. Kouretas. 2009. “From the Cyprus Pound to the Euro: How close is the Central Parity Rate to the Equilibrium Rate?”Central Bank of Cyprus Workshop Papers.
|
| [22] |
Horvath, R., and L. Komarek. 2006. “Equilibrium Exchange Rates in EU New Members: Applicable for Setting the ERM II Central Parity?”MPRA Paper No. 1180.
|
|
Horvath, R., and L. Komarek. 2006. “Equilibrium Exchange Rates in EU New Members: Applicable for Setting the ERM II Central Parity?”MPRA Paper No. 1180.
|
| [23] |
Johansen, S. 1991.“Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models” Econometrica, 59(6):1551~1580.
|
|
Johansen, S. 1991.“Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models” Econometrica, 59(6):1551~1580.
|
| [24] |
Liu, L., and L.L. Pauwels. 2012. “Do External Political Pressures Affect the Renminbi Exchange Rate?”Journal of International Money and Finance, 31(6):1800~1818.
|
|
Liu, L., and L.L. Pauwels. 2012. “Do External Political Pressures Affect the Renminbi Exchange Rate?”Journal of International Money and Finance, 31(6):1800~1818.
|
| [25] |
Maziad, S., and J.S. Kang. 2012. “RMB Internationalization: Onshore/Offshore Links”IMF Working Paper No. 12/133.
|
|
Maziad, S., and J.S. Kang. 2012. “RMB Internationalization: Onshore/Offshore Links”IMF Working Paper No. 12/133.
|
| [26] |
Pesaran, H.H., and Y. Shin. 1998.“Generalized Impulse Response Analysis in Linear Multivariate Models” Economics Letters, 58(1):17~29.
|
|
Pesaran, H.H., and Y. Shin. 1998.“Generalized Impulse Response Analysis in Linear Multivariate Models” Economics Letters, 58(1):17~29.
|
| [27] |
Phillips, P.C.B. 1998.“Impulse Response and Forecast Error Variance Asymptotics in Nonstationary VARs” Journal of Econometrics, 83(1-2):21~56.
|
|
Phillips, P.C.B. 1998.“Impulse Response and Forecast Error Variance Asymptotics in Nonstationary VARs” Journal of Econometrics, 83(1-2):21~56.
|
| [28] |
Rawdanowicz,. 2004. “Poland’s Accession to EMU — Choosing the Exchange Rate Parity” in The Euroarea and the New EU Member States, London: Palgrave Macmillan UK, by de Souza, L.V. and B. van Aarle, 180~202.
|
|
Rawdanowicz,. 2004. “Poland’s Accession to EMU — Choosing the Exchange Rate Parity” in The Euroarea and the New EU Member States, London: Palgrave Macmillan UK, by de Souza, L.V. and B. van Aarle, 180~202.
|
| [29] |
Yang, Z., and Y. Zhou. 2017.“Quantitative Easing and Volatility Spillovers across Countries and Asset Classes” Management Science, 63(2):333~354.
|
|
Yang, Z., and Y. Zhou. 2017.“Quantitative Easing and Volatility Spillovers across Countries and Asset Classes” Management Science, 63(2):333~354.
|
| No related articles found! |
|
|
|
|
