香港离岸套利空间对人民币汇率的影响

发布时间：2018-04-03 21:57

本文选题：汇率波动　切入点：人民币国际化　出处：《复旦大学》2014年硕士论文

【摘要】：香港离岸人民币中心建设以2004年开放人民币存款为起点,至2013年底已有十年发展。目前香港离岸人民币业务已涵盖存贷款、证券投融资、资金交易、资产管理等业务,在岸—离岸循环机制初步建立。一方面内地可充分利用香港国际金融中心的优势,推动人民币国际化与人民币汇率改革进程；另一方面,香港通过开展离岸人民币业务,增强自身国际竞争力,密切与内地经济的互动。香港离岸人民币中心的建设,也带来了很多不利影响。由于内地资本账户尚未完全开放,在岸人民币汇率实行波幅管理,内地与香港市场的融资环境相对脱节。香港—内地人民币汇差、利差产生的套利空间,引起短期资金跨境流动,进而加剧人民币汇率波动,挑战内地汇率政策与宏观货币调控。套利空间的长期存在,也对香港离岸人民币汇率的引导性、人民币资产定价的有效性提出了疑问。本文研究香港、内地的即期汇差、利差对人民币汇率波动的影响。创新性提出即期汇差、利差会影响人民币资产配置地区的选择,影响内地市场的人民币供求,进而扰动内地人民币即期汇率。本文建立汇率～即期汇差～利差联动VAR及VEC模型发现,即期汇差的产生会引导人民币汇率走向均衡,在长期对两地利差存在溢出效应。但外汇市场与资本市场联动性有限,汇差、汇率对利差的溢出反应缓慢,从而导致了套利空间的长期存在,危害人民币国际化进程。人民币汇率市场非有效市场。本文试图从资产：配置地点的角度提供研究思路,希望为人民币汇率改革与香港离岸人民币市场前景提供建议。加快离岸人民币市场规模化发展,开展各项离岸业务同时做好配套制度的建设,早日实现人民币国际化目标。
[Abstract]:The offshore renminbi center in Hong Kong started with the opening of renminbi deposits in 2004 and has been developing for a decade by the end of 2013.At present, offshore renminbi business in Hong Kong covers deposit and loan, securities investment and financing, capital trading, asset management and so on.On the one hand, the mainland can make full use of the advantages of Hong Kong's international financial center to promote the process of RMB internationalization and RMB exchange rate reform; on the other hand, Hong Kong can enhance its international competitiveness by developing offshore renminbi business.Close interaction with the mainland economy.Hong Kong offshore RMB center construction, also brought many adverse effects.As the mainland's capital account has not yet been fully opened and the onshore renminbi exchange rate is subject to volatility management, the financing environment in the mainland and Hong Kong markets is relatively disconnected.The exchange rate difference between Hong Kong and the mainland, and the arbitrage space caused by the spread of interest rate, lead to short-term cross-border capital flow, which in turn aggravate the volatility of RMB exchange rate, and challenge the mainland exchange rate policy and macro-monetary regulation and control.The long-term arbitrage space also raises questions about the guidance of the offshore renminbi exchange rate in Hong Kong and the effectiveness of renminbi asset pricing.This paper studies the effect of spot exchange rate difference and interest rate difference on RMB exchange rate fluctuation in Hong Kong and mainland.Innovatively put forward spot exchange rate difference, interest rate difference will affect the choice of RMB asset allocation region, affect the supply and demand of RMB in the mainland market, and then disturb the spot exchange rate of mainland RMB.In this paper, the VAR and VEC models of exchange rate / spot exchange difference / interest difference linkage are established. It is found that the occurrence of spot exchange rate difference will lead the RMB exchange rate to balance, and there will be spillover effect on the interest rate difference between the two places for a long time.However, the linkage between the foreign exchange market and the capital market is limited, the exchange rate is different, and the spillover of exchange rate to the spread is slow, which leads to the long-term existence of arbitrage space and endangers the process of RMB internationalization.The RMB exchange rate market is not an efficient market.This paper attempts to provide research ideas from the point of view of asset: location, hoping to provide suggestions for the reform of RMB exchange rate and the prospect of offshore RMB market in Hong Kong.Accelerate the development of offshore RMB market on a large scale, carry out all kinds of offshore business at the same time, do well the construction of supporting system, and realize the goal of RMB internationalization as soon as possible.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.6

【共引文献】