中文摘要：

本文采用滚动协整迹检验对人民币在岸离岸市场的联动关系进行分析，并基于信息溢出和价格发现理论，从统计和经济显著性两个方面来确定人民币汇率定价权归属。研究发现，境内外人民币外汇市场的一体化联系具有较强的时变性，且境内外即期市场的一体化水平高于远期市场。在价格与波动两个层面，在岸市场从总体上拥有即期定价权，离岸市场掌握远期定价权，且相比价格层面，在岸离岸市场在波动层面的联系更为密切，波动风险比价格信息更易于传导。动态结果进一步显示，2016年3月以来，离岸市场正在逐步掌握即期定价权，即期定价权存在旁落境外的风险；虽然离岸市场从总体上掌握远期定价权，但在央行外汇市场干预强化的时期，在岸市场仍享有远期定价权。

英文摘要：

Abstract： This paper studies the dynamic integration relationship between onshore and offshore RMB markets through a rolling cointegration trace test. Based on the theories of information spillover and price discovery, this paper also explores the attribution of RMB exchange rate pricing power via both its statistical and economic significance. The empirical results show that the onshore-offshore market integration is time- varying, and the overall integration level of onshore-offshore spot market is higher than that of forward mar- ket. In general, onshore market holds spot pricing power and offshore market holds forward pricing power in terms of price and volatility level. In addition, the onshore-offshore market has a closer connection on vola- tility level than on price level, and the volatility risk is easier to spillover than price information. The dy- namic results show that the offshore market has gradually obtained spot pricing power since March 2016, and the risk that onshore market loses spot pricing power does exist. Although offshore market mostly holds forward pricing power, the onshore market still has forward pricing power when the central bank strengthens the intervention in foreign exchange markets.