中文摘要：

本文首次采用基于协整VAR模型的动态溢出指数方法,对＂811汇改＂的影响进行全面评估,量化考察了＂811汇改＂的成效。研究结果表明,2013年初至＂811汇改＂前,中间价的方向性溢出持续下跌,其市场性和基准性不断下降,选择合适的时机完善人民币汇率中间价报价机制十分必要。在＂811汇改＂后,人民币兑美元汇率价格体系的总体溢出、中间价受到其他价格和对其他价格的方向性溢出均呈现明显上升趋势,且中间价与单个汇率价格相互溢出的结构发生显著变化,CNY即期和远期等在岸市场的作用进一步凸显。因此,＂811汇改＂取得了预期的效果,整个系统的联动水平大幅提高,中间价的市场性和基准性显著提升,其市场基准地位得到了巩固提高。目前,中间价接受信息溢出的规模与其他市场价格基本无异,中间价作为基准汇率所需的市场性得到了满足;然而,中间价的对外溢出在＂811汇改＂后虽有明显提高,但相比其他市场价格的对外溢出,中间价影响其他价格的能力仍相对较弱,中间价作为基准汇率所需的基准性有待进一步提升,这是下一步改革的方向。

英文摘要：

This paper uses the dynamic spillover index based on eointegrated VAR model for the first time, to evaluate the influence of 811 Exchange Rate Reform comprehensively, and to examine the effectiveness of 811 Exchange Rate Refrain quantitatively. Our results show that, from the beginning of 2013 to 811 Exchange Rate Reform, the directional spillover of the central parity declined continuously, and its market - orientation and benchmark level decreased constantly. So it is very necessary to choose the right time to improve quotation of the central parity. After 811 Exchange Rate Reform, the overall spillover of exchange rate system of RMB against US dollar, the directional spillover received by the central parity from all other prices, and the directional spillover transmitted by the central parity to all other prices displayed a clear upward trend. At the same time, the mutual spillover structure between the central parity and single exchange rate also changed significantly and the effects of onshore CNY spot and future markets further highlighted. Therefore, 811 Exchange Rate Reform has achieved the desired effect, the linkage level of the entire system increased substantially, the market - orientation and benchmark status of the central parity has been enhanced. At present, there is no difference between the size of the central parity receives information spillover and that of other market prices, the market - orientation level of the central parity can meet the needs of the benchmark exchange rate. However, although the external spillover of the central parity improved obviously after 811 Exchange Rate Reform, compared with other market prices, the ability that the central parity influences other prices is weaker. That is to say, the benchmark level of the central parity should be further enhanced, and this is the direction of further reform.