摘要随着人民币国际化进程的不断深入，离岸人民币市场高速发展，与在岸人民币市场一起组成了中国金融市场重要的一部分，在中国经济发展中发挥着不可替代的作用，因此，研究离岸市场与在岸市场以及二者之间的联动性对于市场参与者和政策制定者来说至关重要，有着十分重要的研究意义。本文采用 cusum 方法进行变点检验，检验出时间序列的变点个数和位置，并以此为基础，分段分析两个市场的均值溢出效应，考察两个市场的联动性。文章借助 VAR 模型，通过格兰杰因果检验、脉冲响应函数、方差分解等方法分析得出结论。通过分析我们得出以下结论：在 10 年以前并没有明显的均值溢出效应，两个市场之间的联动性较差，而在 10-15 年存在着单向的均值溢出效应，在岸市场掌握着一定的话语权，而在 15 年之后，两个市场汇率走势逐渐趋于一致，汇差逐渐缩小。基于上述分析与结论，文章最后为离岸市场发展和人民币国际化进程提供了行之有效的建议，在保证汇率相对平稳，塑造安全的经济环境的基础上，推动在岸市场与离岸市场加速发展。关键词：人民币离岸市场；人民币在岸市场；变点检验；cusum 方法；均值溢出效应；VAR 模型AbstractWith the continuous deepening of the RMB internationalization process, the offshore RMB market has developed rapidly. Together with the onshore RMB market, it has formed an important part of China's financial market and played an irreplaceable role in China's economic development. Therefore, the offshore market has been studied. The onshore market and the linkage between the two are very important for market participants and policy makers, and have very important research significance.In this paper, we use the Cusum method to carry out the change point test to check the number and position of the change points in the time series, and on this basis, analyze the average spillover effect of the two markets in sections and examine the linkage between the two markets. With the help of VAR model, the article draws conclusions through Granger causality test, impulse response function, varianc...
