This paper investigates how the price dynamics of both onshore and offshore RMB markets are affected by fundamental determinants, market liquidity, global risk aversion and policies by using daily data from August 2010 to February 2016. The interval time series (ITS) modelling is applied to study the RMB price mechanism by capturing prices of the two markets as one self-formed interval data. An interval-based Wald test is constructed to examine the differences between the coefficients and an interval-based Mallows criterion is proposed for choosing appropriate explanatory variables. We find that both the price level and the price differences of onshore and offshore RMB markets are greatly affected by economic fundamentals indicated by different returns on stock indexes and market liquidity indicated by bid-ask prices of offshore market price. In addition, it is suggested that the interest rate spread between China and the US and the global risk appetite do not significantly affect the RMB price for both onshore and offshore markets. Finally, the results imply that “811 reform” of the RMB exchange rate regime does not change the fundamental price dynamics of RMB markets, but significantly changes how economic fundamentals affect the price mechanism of RMB exchange rate.

本文使用2010年8月至2016年2月的每日数据，研究了境内和离岸人民币市场的价格动态如何受到基本决定因素，市场流动性，全球风险规避和政策的影响。区间时间序列（ITS）模型适用于通过捕获两个市场的价格作为一个自形成的区间数据来研究人民币价格机制。构建了基于区间的Wald检验来检验系数之间的差异，并提出了基于区间的Mallows准则来选择适当的解释变量。我们发现，境内和离岸人民币市场的价格水平和价格差异都受到股票指数回报率和离岸市场价格的买入价所表明的市场流动性所表明的经济基本面的影响。此外，建议中美之间的利差和全球风险偏好不会对在岸和离岸市场的人民币价格产生重大影响。最后，结果暗示人民币汇率制度的“ 811改革”并没有改变人民币市场的基本价格动态，而是显着改变了经济基本面如何影响人民币汇率的价格机制。