中国货币互换以及人民币汇率与股票价格在岸和离岸关系研究

发布时间：2018-01-15 01:26

本文关键词：中国货币互换以及人民币汇率与股票价格在岸和离岸关系研究　出处：《华中科技大学》2016年博士论文　论文类型：学位论文

【摘要】：在2008年全球金融危机时期,国际货币系统经历了严重的美元流动性短缺危机,极大的影响了全球贸易活动,并且也给国际银行体系造成了巨大的压力。这让更多的国家意识到运行一个以美元为中心的国际货币体系的潜在危险。在这个背景下,中国政府开始积极促进人民币的跨境使用,以此减轻本国货币对美元的依赖。其中一个重要的措施就是建立人民币的货币互换网络。尽管已经建立的货币互换协议很少有被真正使用,但是由于国家之间巨大的经济贸易往来,以及想成为中国人民币国际化版图中的合作伙伴,越来越多的国家想与中国签订人民币货币互换协议。尽管人民币跨境使用和国际化的进程十分迅速,但是中国的资本管制仍然存在。由于在岸和离岸市场体制的分离,使得人民币的在岸离与离岸汇率以及同时在大陆香港两地上市公司的股票价格一直存在价格差异。由此一来,中国外汇和股票市场的在岸与离岸的联动关系越来越值得挖掘和研究。因此,本文通过选取适当的计量经济学模型和方法,研究了人民币货币互换签署和规模的决定因素,从指数层面和公司层面研究外汇和股票市场的在岸和离岸价差的联动关系以及宏观和市场决定因素,并从公司层面研究人民币在岸和离岸的汇率风险暴露对两岸同时上市的公司股票收益的影响。本文的研究工作和主要结果主要集中在以下几方面：(1)通过使用Heckman两阶段法和比例风险模型对人民币货币互换机制进行研究,发现包含双边贸易强度、经济规模、战略伙伴关系、自由贸易协定、腐败和政治稳定系数的经济因素、政治考虑和制度因素都能够影响货币互换协议的签订。一旦决定签署一个互换协议,互换的规模主要受到两国之间的贸易强度,经济规模大小以及是否签订自由贸易协定的影响。研究的结果对于使用Heckman两阶段法和比例风险模型以及年度和季度数据都十分稳健。除此之外,如果考虑伙伴国家和中国之间的地理因素,其引力效应只有在样本早期中国主要与周边国家签订协议时才可能检测到。(2)使用广义自回归.条件异方差模型从宏观角度对在岸.离岸人民币汇率差价和股票收益差序列进行时间序列建模和进行均值和方差的因果检验,发现在沪港通实施之前,汇率和股票的在岸-离岸差异总体上同时变大或减小,在岸(离岸)人民币的升值总是伴随着更好的在岸(离岸)股票市场表现,而且两个市场的在岸-离岸差异的稳定程度能够显著地正向影响对方的稳定程度,即汇率差波动越大股票收益差也更不稳定,反之亦然。但是两者这种关系在沪港通实行的将近一年内逐步变小。在此基础上,我们进而发现在岸-离岸汇率差和股票收益差受到在岸-离岸市场总体经济表现差异、国际传导因素的共同影响。还发现金融市场改革的一系列措施能够有效地减小在岸-离岸汇率和股票差异的波动程度。(3)从公司层面研究了人民币在岸和离岸汇率差对A-H股价差的影响。通过对公司样本构建动态面板模型,使用系统广义矩估计方法,通过控制传统影响股票差价的解释变量,发现在公司层面人民币在岸和离岸汇率差也对股票差有着显著影响。同时,也从公司层面来看中国外汇和股票市场的在岸-离岸关系,发现人民币在岸和离岸汇率都对同时在A股和H股上市的公司有显著地风险暴露效应。共同点是总体来看,货币贬值程度越大,上市公司的股票收益越大。不同的是,在岸人民币的风险暴露程度相比离岸人民币程度要低很多,更加开放的离岸金融市场使得股票的表现更多受到货币变动的影响。从行业角度来看,无论是在岸还是离岸市场,金融业受到货币风险暴露的影响最大。
[Abstract]:In 2008 the global financial crisis, the international monetary system has experienced a severe dollar liquidity shortage crisis has a great impact on Global trade, and also bring great pressure to the international banking system. It makes more countries to realize the potential danger of running a dollar in the heart of the international monetary system. Under this background, Chinese government began to actively promote cross-border use of RMB currency, in order to reduce dependence on the dollar. One important measure is the establishment of the RMB currency swap networks. Although the established currency swap agreement is seldom true, but because of the huge economic and trade exchanges between countries, and want to be China RMB internationalization partner in the territory, more and more countries to sign the RMB currency swap agreement with Chinese. Although the RMB cross-border use And the process of internationalization is very rapid, but Chinese capital controls still exist. Because of the separation of onshore and offshore market system, making the RMB onshore and offshore rate and at the same time in the mainland and Hongkong listed company's stock price has been the price difference. As a result, Chinese foreign exchange and stock market in the bank and is worth the relationship between mining and offshore and research. Therefore, this paper selected the appropriate econometric model and method, studying the determining factors and the size of the RMB currency swap signed, from the index level and company level of foreign exchange and the stock market in the onshore and offshore price linkage relationship and macro and market factors, and influence from the company level of onshore and offshore renminbi exchange rate risk exposure at the same time on both sides of the company listed on the stock returns. The research and work of this thesis The main results mainly in the following aspects: (1) through the method and the proportional hazard model using Heckman two phase of the RMB currency swap mechanism research, found that included bilateral trade intensity, economic scale, strategic partnership, free trade agreements, economic factors, corruption and political stability coefficient, a political and institutional factors to consider effect of currency swap agreement. Once the decision to sign a swap agreement, the exchange scale is mainly affected by the trade intensity between the two countries, the economic size and whether to sign a free trade agreement. The results of the study for the method and the proportional hazard model using Heckman two stage and the annual and quarterly data are very robust. In addition, if considering the geographical factors between the state and the Chinese partner, their gravitational effects only in the early Chinese sample with neighboring countries signed the agreement mainly Could be detected. (2) using the generalized autoregressive conditional heteroscedasticity model. From a macro perspective on the onshore offshore RMB exchange rate Granger causality test. The difference and the difference of stock return time series modeling and sequence of mean and variance found in Shanghai and Hong Kong through before the implementation of the exchange rate and the stock of the onshore offshore overall difference at the same time increases or decreases, onshore (Offshore) RMB appreciation is always accompanied by better onshore (Offshore) stock market performance, and the onshore offshore difference degree of stability in the two markets can positively affect the degree of stability of each other, namely exchange rate fluctuations greater stock returns are less poor stable, and vice versa. But this relationship in the implementation of both Shanghai and Hong Kong through nearly a year gradually smaller. On this basis, we further found that the onshore offshore exchange rate difference and stock income difference by the onshore offshore market in general by The economic performance differences, influence the international transmission factors. Also found a series of financial market reforms can effectively reduce the volatility of onshore offshore exchange rate and stock difference. (3) from the company level of onshore and offshore renminbi exchange rate difference on the A-H share price difference. The influence of constructing dynamic panel model the company sample, using System GMM method, through the control of traditional explanatory variables affect the stock price difference, found at the company level onshore and offshore renminbi exchange rate also has a significant impact on the stock difference. At the same time, the company also from the view of the stock market and foreign exchange China onshore offshore RMB, found in the onshore and offshore exchange rate to also have significant effect on the risk of exposure to A shares and H shares listed companies. The common point is overall, the greater the degree of currency depreciation, stock income is bigger. The same is the risk of onshore Renminbi exposure compared to the offshore renminbi level is much lower, more open offshore financial market makes stocks more affected by currency movements. From the industry perspective, both onshore and offshore markets, the financial industry is affected by the currency risk exposure.

【学位授予单位】：华中科技大学
【学位级别】：博士
【学位授予年份】：2016
【分类号】：F832.6;F832.51

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