人民幣在國際間重要性不斷上升，國際化與自由化過程緊密相關，人民幣開放及國際化的過程中，境外人民幣(CNH)和境內人民幣(CNY)匯率價差是國際投資者對於全球狀況和中國境內的不同反應所造成的。不同的市場反應可能是由許多各種不同的內外在因素所造成，也是市場關注的焦點。本文使用GARCH模型探討影響境外人民幣(CNH)和境內人民幣(CNY)人民幣價差與其波動性的因素，研究架構分成兩部分，第一部分為探討總體經濟數據的表現對於價差的關連，分析股市、債市、重要經濟數據(GDP、進出口及PMI)的宣告，與價差變化的影響；第二部分則為探討中國政府推出一系列的匯率改革政策及中價引導，是否能有效縮小CNH與CNY之間的價差變化。;As the global importance of the Renminbi (RMB) is increasing, the internationalization and liberalization of the RMB are closely related. In the internationalization process of RMB, the difference between offshore renminbi (CNH) and onshore renminbi (CNY) change in response to investors’ reactions to the situation in China and the world. Different market reactions may be caused by many different internal and external factors. This thesis uses the GARCH model to explore the determinants of the CNH and CNY spreads and their volatility. The research includes two parts. The first part is to examine the influence of stock market, bond market, and macroeconomic announcement surprises in China (including GDP, import and export, and PMI); the second part is to explore whether the series of exchange rate reform policies and medium-price guidance introduced by Chinese government can effectively reduce the spread between CNH and CNY.
