沪深港通政策对离在岸人民币利率相关性的影响研究

发布时间：2018-04-04 20:30

本文选题：沪港通　切入点：深港通　出处：《北京外国语大学》2017年硕士论文

【摘要】：本文旨在研究沪港通、深港通政策对人民币离在岸市场利率相关性的影响。本文将人民币香港银行同业拆息定价(CNH-HIBOR)定义为人民币离岸市场利率,选取上海银行间同业拆放利率(SHIBOR)作为人民币在岸市场利率。按照政策发生时间点,分三个时间段2013年5月27日至2014年11月17日、2014年11月17日至2016年12月5日、2016年12月5日至2017年3月2日,将各期限人民币香港银行同业拆息定价(CNH-HIBOR)和上海银行间同业拆放利率(SHIBOR)的高频数据,运用协整检验和格兰杰因果检验法,分阶段研究了在沪港通政策和深港通政策正式实施之后,这一金融开放措施是否有效地加强了离岸与在岸人民币市场利率的相关性。研究结果表明,沪深港通政策未启动时期,离在岸市场各品种利率无格兰杰因果关系,不存在稳定的相关关系;沪港通政策启动后,对于3个月期限利率品种,离岸市场是在岸市场利率的格兰杰原因,反向引导关系不存在,一年期离岸市场与在岸市场利率存在双向的格兰杰因果关系,其他期限品种无相关关系。沪港通实施后,有两种期限利率存在联系,联动效应有一定提高;深港通政策实施后,隔夜、一周、两周利率品种的在岸市场利率是离岸市场利率的格兰杰原因,存在单向的格兰杰因果关系,反向不成立。一个月利率品种的在岸与离岸市场利率互为格兰杰原因。短期利率互动关系有显著加强,由于深港通政策推行时间尚短,无法检验长期相关性。总体来看,沪港通政策实施后,仅两种利率品种存在相关关系,其余大部分不存在长期稳定的相关关系,也不存在明显的格兰杰因果关系。深港通政策实施后,四种利率品种表现出一定的相关性,而中长期利率品种的格兰杰检验,因政策出台不足三个月,无法进行研究。仅从当前检验结果观察,可得出沪港通这一金融开放政策实施之后,香港离岸市场和境内在岸市场间信息沟通增强程度有限,互动程度加深不明显;深港通出台后,离在岸市场人民币利率相关性增强,互动有明显增强。本文认为深港通相较于沪港通,取消了总额限制,机制设计相对更完善,深港通政策叠加沪港通政策,有效增强了离岸与在岸市场间互联互动程度,离在岸人民币利率相关性有所增强。虽然政策影响离在岸利率相关性的明确路径尚不清楚,但这一金融开放政策有效联接了两岸资本市场,双向资本流动加深有利于推动资本要素价格市场化、丰富离岸人民币产品和业务、完善人民币在岸汇率机制,是倒逼内地资本市场和经济金融体制改革、促进资本账户自由化、利率市场化和人民币国际化的重要一步。同时也更好地促进在岸与香港离岸市场的互动与链接,为两地金融市场稳定创造更有利的条件。
[Abstract]:The purpose of this paper is to study the influence of Shanghai Stock Connect and Shenzhen-Hong Kong Stock Connect policy on the interest rate correlation of RMB off-shore market.In this paper, CNH-HIBOR is defined as the offshore market interest rate of RMB, and Shanghai Interbank offered rate (SHIBOR) is chosen as the onshore market interest rate of RMB.According to the timing of the policy, there are three time periods, 27 May 2013 to 17 November 2014, 17 November 2014 to 5 December 2016, 5 December 2016 to 2 March 2017,Using the cointegration test and Granger causality test, the high frequency data of CNH-HIBORand Shanghai Interbank offered rate (Shanghai Interbank offered rate) for each maturity of RMB Hong Kong Interbank offered rate (HKIBOR-CNH-HIBOR) are used.After the implementation of the Shanghai-Hong Kong Stock Connect Policy and the Shenzhen-Hong Kong Stock Connect Policy, this financial liberalization measure has effectively strengthened the correlation between offshore and onshore RMB market interest rates.The results show that there is no Granger causality and no stable correlation between the interest rates of all varieties in the onshore market during the period of no start of the Stock Connect Policy between Shanghai and Shenzhen.The offshore market is the Granger reason of the onshore market interest rate. The reverse guidance relationship does not exist. There is a two-way Granger causality relationship between the one-year offshore market and the onshore market interest rate, but there is no correlation between other maturity varieties.After the implementation of the Stock Connect between Shanghai and Hong Kong, there are two kinds of term interest rates linked, and the linkage effect has been improved. After the implementation of the Shenzhen-Hong Kong Stock Connect policy, the onshore market interest rates of overnight, one-week and two-week interest rates are the Granger reasons for the offshore market interest rates.There is a one-way Granger causality, the reverse does not hold.One month interest rate variety in the onshore and offshore market interest rates are Granger reasons.The short-term interest rate interaction has strengthened significantly, because the Shenzhen-Hong Kong link policy implementation time is still short, cannot test the long-term correlation.In general, after the implementation of the Shanghai Stock Connect policy, only two kinds of interest rate varieties have a correlation relationship, while most of the rest do not have a long-term stable correlation relationship, and there is no obvious Granger causality relationship.After the implementation of the Shenzhen-Hong Kong link policy, the four kinds of interest rate varieties showed certain relevance, but the Granger test of the medium and long-term interest rate varieties could not be studied because the policy was issued for less than three months.From the observation of the current inspection results, it can be concluded that after the implementation of the financial opening policy of Shanghai Stock Connect, the degree of information communication between the offshore market in Hong Kong and the onshore market in Hong Kong is limited, and the degree of interaction is not obvious; after the introduction of the Shenzhen-Hong Kong Stock Connect,Off-shore market interest rate correlation of RMB increased, the interaction has increased significantly.Compared with the Stock Connect between Shanghai and Hong Kong, Shenzhen-Hong Kong Stock Connect eliminates the total limit and the mechanism design is relatively perfect. The Shenzhen-Hong Kong Stock Connect policy overlay the Shanghai-Hong Kong Stock Connect policy, which effectively enhances the degree of interaction between offshore and onshore markets.Offshore RMB interest rate correlation has increased.Although it is not clear that the policy influence is related to interest rates onshore, this financial opening policy effectively links the capital markets across the Taiwan Strait, and the deepening of two-way capital flows is conducive to promoting the marketization of capital factor prices.Enriching offshore RMB products and business and perfecting the onshore exchange rate mechanism of RMB is an important step to push the reform of the capital market and economic and financial system in the mainland, to promote the liberalization of capital account, the marketization of interest rate and the internationalization of RMB.At the same time, it also promotes the interaction and links between onshore and Hong Kong offshore markets, thus creating more favorable conditions for the stability of financial markets in both places.
【学位授予单位】：北京外国语大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F822.0

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