关于香港离岸人民币存款变动影响因素的理论和实证研究

发布时间：2018-04-10 19:13

  本文选题：跨境经济循环 + 跨境金融循环　； 参考：《世界经济研究》2017年09期

【摘要】：文章以跨境实体经济循环和跨境金融循环的"两个循环"分析框架为基础,研究境外人民币需求的决定因素,并在境内仍然存在一定资本管制的前提下,在理论上分析香港人民币存款余额、香港人民币汇率预期和内地与香港两地存款利差三个变量之间可能存在的关系。从理论上看,两地资本仍不能完全自由流动是两地人民币存款利率和人民币汇率存在差异的基本原因。此后,文章用VEC模型对上述三个变量的关系进行检验。实证结果显示,三个变量之间存在着不同程度的相互影响。从中长期看,香港人民币汇率预期变动是香港人民币存款变化的重要影响因素,两地利差的变动对香港人民币存款变化的直接影响不甚显著。需强调的是,三个变量之间存在着相互强化的关系,例如,中长期内,若香港存在人民币升值预期,则三个变量的相互作用可能使得人民币产生更大的升值预期。另外,由于内地仍存在资本管制,香港人民币存款与两地利差之间的相互作用是非对称的。
[Abstract]:Based on the "two cycles" analysis framework of cross-border real economic cycle and cross-border financial cycle, this paper studies the determinants of offshore RMB demand, and on the premise that there are still some capital controls in China,This paper theoretically analyzes the possible relationship between the balance of RMB deposits in Hong Kong, the expectation of RMB exchange rate in Hong Kong and the three variables of deposit interest difference between the mainland and Hong Kong.Theoretically, the fact that the capital of the two places is still unable to flow freely is the basic reason for the difference between the RMB deposit rate and the RMB exchange rate.Then, the VEC model is used to test the relationship between the above three variables.Empirical results show that there are different degrees of interaction between the three variables.In the medium and long term, the expected change of RMB exchange rate in Hong Kong is an important factor influencing the change of RMB deposits in Hong Kong, and the change of interest rate difference between the two places has little direct effect on the change of RMB deposits in Hong Kong.It should be stressed that there is a mutually reinforcing relationship between the three variables, for example, in the medium and long term, if there is a expectation of RMB appreciation in Hong Kong, the interaction of the three variables may lead to greater expectations of appreciation of the RMB.Moreover, the interaction between renminbi deposits and interest rate differentials in Hong Kong is asymmetrical because capital controls still exist on the mainland.
【作者单位】： 上海社会科学院世界经济研究所;
【基金】：国家社会科学基金项目《人民币国际化的条件、路径与对策研究》(项目编号:13BGJ041)的阶段性研究成果
【分类号】：F832.6
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本文编号：1732536