中文摘要：

采用2011年10月11日至2016年2月1日在岸人民币市场（CNY）、香港离岸人民币市场（CNH）以及离岸无本金交割远期市场（NDF）远期汇率的日度数据,通过构建溢出指数,研究了三个市场之间的非时变溢出效应以及时变的动态溢出效应。研究发现,NDF市场对CNY市场和CNH市场都有较强的溢出效应,CNY市场对CNH市场的溢出效应较弱,其他市场之间则不存在溢出效应;2012年4月和2015年8月的两次汇率改革政策会对三个市场间的溢出效应产生影响。中国可适度推动汇率市场化改革,扩大汇率浮动幅度的限制,完善风险规避和隔离机制,以推进人民币国际化进程。

英文摘要：

Using the daily data of forward exchange rate from CNY onshore market, CNH offshore market and NDF offshore market over the period from October llth 2011 to February l st,2016, this paper attempts to investigate the time invariant spillover effect and time variant spillover effect among the above three markets by constructing the spiUover index. The results shows that ： （ 1 ） NDF market has a strong spillover effect on CNY market and CNH market, CNY market has a weak spillover effect on CNH market, and there are no spillover effect among other markets; （2）Both the two important exchange rate reforms happened in April 2012 and August 2015 have spillover effects on the three markets. It is then suggested that China can moderately promote the market-oriented reform of exchange rate, expand the rate of exchange rate fluctua- tions, and improve the risk aversion and isolation mechanism to promote the internationalization of the RMB process.