香港人民币离岸市场对内地金融市场风险的度量与预测研究

摘要

Hong Kong＇s RMB offshore market has rapidly developed in recent years. In this paper, we analyze the risk of Hong Kong＇s RMB offshore market by using state space Model and VAR model. In the end, we also forecast the time of risk outbreak.%近年来,香港人民币离岸市场迅速发展。随着市场规模的不断扩大,其波动对内地金融市场的冲击不容小视。本文运用VAR模型和状态空间模型,参照国际经验数据,模拟分析度量了香港人民币离岸市场对内地金融市场的风险,并在此基础上预测了未来风险多发的时间区间。