摘要
在人民币国际化的大背景下,离岸人民币市场快速发展,逐步形成了香港等离岸人民币中心。随着汇率市场化和利率市场化改革的不断推进,离岸和在岸人民币利率的联动性有所增强。本文采用二元非对称GARCH-BEKK模型对汇改以来离岸与在岸人民币利率之间的关系进行了实证分析。结果发现:汇改初期,受人民币汇率波动影响,在岸对离岸人民币利率的引导有所减弱;随着人民币国际化进程加快、金融市场不断对外开放,离岸和在岸人民币利率联动性显著增强。现阶段在岸对离岸人民币利率的影响仍占主导地位,双向溢出效应主要存在于短期市场上。在此基础上,本文提出扩大金融市场双向开放,强化基准利率建设,加强离岸市场监测分析,加强金融协调监管、提高金融机构风险管理能力等政策建议。
Against the background of RMB internationalization, the offshore RMB market has developed rapidly, gradually forming offshore RMB centers such as Hong Kong. With the continuous advance of the reform of exchange rate liberalization and interest rate liberalization, the linkage between the onshore and offshore RMB interest rate has been enhanced.In this paper, binary asymmetric GARCH-BEKK model is used to empirically analyze the relationship between offshore and onshore RMB interest rates since the reform of the exchange rate regime. The results show that in the early stage of the exchange rate reform, the onshore guidance of offshore RMB interest rates has weakened due to the impact of RMB exchange rate fluctuations. With the acceleration of the internationalization of RMB and the continuous opening of financial markets, the linkage between the onshore and offshore RMB interest rate has been significantly enhanced. At present, the influence of onshore on offshore RMB interest rate is still dominant. The two-way spillover effect mainly exists in the short-term market. On this basis, this paper puts forward policy suggestions such as strengthening the construction of benchmark interest rate, expanding the two-way opening of financial market, improving the level of interest rate liberalization, strengthening the monitoring and analysis of offshore market, strengthening financial coordination and supervision, and improving risk management capabilities of financial institutions.
作者
周瑾
王德莲
王浩然
Zhou Jin;Wang Delian;Wang Haoran(Shanghai Head Office of the People's Bank of China)
出处
《金融发展评论》
2021年第4期25-41,共17页
Financial Development Review
