離岸人民幣與在岸人民幣匯率非線性因果關係研究

The Study on the Nonlinear Dynamic Causal Relationships between offshore and onshore RMB exchange rate

凃健峰(TU, CHIEN-FENG)

指導教授 ： 聶建中

共同指導教授 ： 吳孟紋

國立臺北大學/商學院/國際財務金融碩士在職專班/碩士(2013年)

摘要

人民幣國際化推展的過程中，人民幣離岸中心的成立扮演著極重要的角色。
包括臺灣、香港、新加坡、倫敦都爭相搶食人民幣離岸市場。在中國對資本帳及
匯率的控管下，形成單一國家貨幣有兩種價格的特殊現象，透過本研究想要探討
人民幣在岸及離岸市場關聯性及互動情形，提供給市場參與者作為參考。
本研究在方法上運用Enders and Granger（1998）門檻自我回歸模型（TAR）
及動差門檻自我回歸模型（M-TAR）進行門檻共整合檢定，並進一步利用Enders
and Granger（1998）及Enders and Siklos（2001）門檻誤差修正模型（TECM），
來探討CNY與CNH之間的長短期非對稱因果關係。透過門檻共整合檢定發現，最
適模型設定為M-TART模型，並發現CNH與CNY之間存在有長期均衡趨勢的非對
稱共整合關係。最後以門檻誤差修正模型因果關係檢定發現，CNH與CNY之短期
因果不存在「領先-落後」之因果互動。長期間，當CNH與CNY之偏離度較大時
，則CNH有顯著的領先關係；相反的，當CNH與CNY之偏離度較小時，其長期因
果存在於CNY顯著領先CNH。

關鍵字

CNY ； CNH ； 非對稱共整合 ； 門檻誤差修正模型

並列摘要

The process of internationalization of the RMB promoting the establishment of an
offshore RMB center plays a very important role. Including Taiwan, Hong Kong,
Singapore, London, are trying to snatch the RMB offshore market. Under the control of
China's capital account and the exchange rate, the formation of a single national currency
in a particular phenomenon of the two prices. The study wants to explore the relevance of
the RMB in the onshore and offshore markets and interactive case, available to market
participants as a reference.
In this study, the threshold cointegration was tested bby the method of use of Enders
and Granger (1998) threshold autoregressive model (TAR) and the momentum-threshold
autoregressive model(M-TAR), and further use of the Enders and Granger (1998) and
Enders and Siklos(2001) threshold error-correction model(TECM) to investigate the shortterm
and long-term asymmetric causal relationship between CNH and CNY. Cointegration
test found through the threshold, the optimal model is set to M-TART model, and found
that long-run equilibrium trend asymmetric cointegration between CNH and CNY. Finally,
the threshold error-correction model causality test CNH and CNY short-term cause and
effect does not exist "leading - backward" causal interactive. In a long period, the larger
the degrees of deviation between CNH and CNY are, the more CNH have a significant
ahead of CNY. CNY have a conversely significant ahead of CNH when the degree of
deviation between CNH and CNY is small.

並列關鍵字

CNY ； CNH

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