摘要
作为金融市场化改革的增量措施,香港人民币离岸利率的推出被赋予了倒逼在岸利率改革的政策目的。本文通过构建存在资本管制条件下在岸与离岸市场资本流动竞争模型,推导发现离岸利率会对在岸利率形成倒逼效应,同时放松资本管制会强化倒逼效应的影响。本文以2010年3月至2015年6月期间离、在岸人民币同业拆借利率为研究对象,采用ARDL-ECM模型以及边界检验证明了对超过14天期限品种而言,离岸利率对在岸利率的倒逼效应是真实存在的,并且资本账户开放对倒逼的刺激作用已经显现。
As the complementary measure of Chinese financial market reform, the development of Hong Kong offshore RMB interest rates is expected to stimulate the reform of the onshore ones. By constructing a competitive model of the capital flow between the offshore and onshore markets under capital control, the paper proves that the offshore interest rates can af- fect the onshore rates and the relief of capital control can strengthen the effect. Based on RMB interbank rates from March 2010 to June 2015, the paper empirically confirms the existence of the above effect and the retroactive role of the relief of capital control by ARDL-ECM model and Bound Test.
出处
《国际金融研究》
CSSCI
北大核心
2016年第12期74-83,共10页
Studies of International Finance
基金
中国博士后科学基金第57批面上二等资助
项目名称为"香港人民币离岸市场对我国跨境投机资金的影响研究"(2015M571199)
关键词
离岸利率
在岸利率
资本管制
Offshore Interest Rate
Onshore Interest Rate
Capital Control
