摘要
文章运用两区制门限协整模型对香港离岸市场利率与汇率的联动效应进行实证研究,发现香港离岸人民币市场利率与汇率的联动效应呈现非线性特征;在低利差区制,香港离岸人民币市场可以实现有效的自我调节,而在高利差区制,市场无法进行有效的自我调节,且随着远期汇率期限的增加,市场自我调节能力进一步降低。进一步分析香港离岸人民币市场利率与汇率的联动门限效应的影响因素发现,中美贸易摩擦、"811"汇改、央行货币政策等因素都会对离岸市场的状态造成差异化影响。因此,央行应根据区制的不同采取差异化政策,加快离岸市场基础设施建设,完善跨境资本流动管理和监察体制,推进利率和汇率市场化改革。
We use two-regime threshold VECM model to explore the volatile relationship between interest rate and exchange rate in Hong Kong Offshore market,and find that the linkage effect between them shows a nonlinear feature.In regime of low interest rate difference,Hong Kong Offshore market can validly realize a self-adjustment.However,in the regime of high interest rate difference,Hong Kong Offshore market cannot retain an effective self-adjustment.Moreover,the self-adjustment goes down as the term of forward rate increases.Further,we analyze factors that affect the locomotion of threshold value,and find that Sino US trade confliction,"811"Reform,and monetary policies of the central bank have different effects on RMB Offshore market.Therefore,we suggest the People’s Bank of China should take differentiated policies according to different regime,accelerate the infrastructure construction of Offshore market,perfect the management and regulation on cross-border capital flows,and promote the market-based reform on interest rate and exchange rate.
作者
祝佳
杨嘉杰
汤子隆
赵丹妮
Jia Zhu;Jiajie Yang;Zilong Tang;Danni Zhao(Laboratory for Behavioral and Regional Finance,Guangdong University of Finance,Guangzhou Guangdong 510521,China)
出处
《会计与经济研究》
CSSCI
北大核心
2020年第1期111-128,共18页
Accounting and Economics Research
基金
国家社会科学基金项目(18BJL071,19BJY248)
教育部人文社会科学研究青年项目(15YJC790163,17YJC790205).
关键词
香港离岸人民币市场
利率
汇率
门限协整模型
Hong Kong offshore market
interest rate
exchange rate
threshold VECM model
