摘要
首先运用GC-MSV模型分析了上海银行间人民币同业拆借利率(SHIBOR)和香港银行间人民币同业拆借利率(CNY HIBOR)之间的波动溢出效应,然后运用DC-t-MSV-CoVaR模型度量了两市场间的风险溢出效应。研究结果表明,境内外人民币拆借利率市场间存在不对称的双向波动溢出效应和风险溢出效应,且离岸市场对在岸市场的风险溢出效应要强于在岸市场对离岸市场的风险溢出效应。随着我国利率市场化的推进和人民币国际化的深入,在岸与离岸人民币利率间的联系在不断加强,相关系数在逐步增加。根据上述研究结论,文章最后在利率市场化改革、利率政策制定和跨境风险监管方面提供了政策建议。
As the process of RMB international has been accelerating,the dynamic linkage effects between the onshore and offshore RMB interest rates have been enhanced.This paper studied the volatility spillover effects between SHIBOR and CNY HIBOR with GC-MSV model,and then calculated the Risk Spillover Effects between this two markets with DC-t-MSV-CoVaR model.The results show that there are asymmetric two-way volatility spillover effects and Risk Spillover Effects between onshore and offshore RMB interest rates,and the Risk Spillover Effect offshore market on onshore market is stronger than that on the onshore market to offshore market.As the process of RMB international has been accelerating,the dynamic linkage effects between the onshore and offshore RMB interest rates are also enhanced.According to the conclusions of this study,some policy recommendations about the interest rate market reform,the interest rate policy formulation and cross-border risk regulation were proposed in the end.
作者
陈九生
周孝华
CHEN Jiu-sheng1,2 ,ZHOU Xiao-hua1(1. School of Economics and Business Administration, Chongqing University, Chongqing 400044, China; 2. School of Economics ＆ Management, Chongqing Normal University, Chongqing 401331, Chin)
出处
《系统工程》
CSSCI
北大核心
2017年第11期48-57,共10页
Systems Engineering
基金
国家社科基金重大项目(14DB148)
重庆市社科博士项目(2017BS51)资助
