在岸和离岸人民币汇率联动关系的微观研究

Core Insights - The article discusses the increasing interlinkage between onshore (USD/CNY) and offshore (USD/CNH) RMB markets due to reforms in the RMB exchange rate formation mechanism, highlighting that the offshore market responds faster to information changes while the onshore market exhibits a guiding role [1][2][3]. Market Overview - The onshore RMB market operates under a managed floating exchange rate system primarily serving the needs of the real economy, while the offshore market is more diversified and driven by supply and demand dynamics, mainly involving foreign financial institutions [2]. - The "8·11" exchange rate reform in 2015 marked a significant change in the interlinkage between the two markets, enhancing the influence of the offshore market on the onshore market [3]. Microstructural Analysis - The study utilizes minute-level data from November 9, 2022, to September 24, 2023, to analyze the microstructure of the RMB market, focusing on the lead-lag relationship between onshore and offshore exchange rates [5][6]. - Statistical tests reveal that the onshore market exhibits some degree of price autocorrelation, while the offshore market shows a more efficient pricing mechanism with minimal autocorrelation [7][16]. Information Response Patterns - The offshore RMB market demonstrates a quicker response to new information, achieving market equilibrium within an average of one minute, compared to four minutes for the onshore market [17][18]. - The analysis indicates that the onshore market may have informed traders who react to market changes ahead of time, contributing to its stabilizing role [18][21]. Lead-Lag Relationship - Quantitative models reveal that changes in the offshore exchange rate slightly precede those in the onshore market, indicating a lead-lag relationship where the offshore market influences the onshore market [21][26]. - The impulse response analysis shows that a shock in the offshore market leads to a more significant immediate response in the onshore market compared to the reverse scenario [26]. Factors Influencing Pricing Differences - The study identifies the speed of quote responses and transaction costs as critical factors affecting the pricing differences between the onshore and offshore RMB markets [29][30]. - Scenario analyses demonstrate that delays in execution and higher transaction fees significantly reduce the profitability of trading strategies based on the lead-lag relationship [30][32]. Recommendations for Market Development - The article suggests enhancing the automation level of market makers in the onshore market to improve responsiveness and reduce the information response speed gap between the two markets [33]. - It also recommends optimizing transaction fee structures to encourage liquidity provision in the onshore market and promoting the steady development of the offshore market to enhance its domestic attributes [34].