境内外人民币外汇市场价格引导关系研究

Based on the data of demestic RMB foreign exchange spot rate (CNY), Hong Kong RMB offshore exchange spot rate (CNH) and offshore non-deliverable forward (NDF) exchange rate, and considering the launch time of fixing price in CNH market as a watershed, in the VAR model basis, through the Granger causality test, impulse response function analysis and variance decomposition method, the paper conducts a empirical research on the relationship between the three RMB price in two stage. The empirical results show that, before CNH market launches his fixing price, NDF market has an absolute advantage as an information center of RMB exchange rate. And after, this pricing capability in NDF market significantly weakened, while domestic spot market has got the pricing power; on the other hand, between the two offshore exchange market, NDF market's pricing capacity is still stronger than the CNH market.