人民币离岸市场与在岸市场联动关系研究

【作者】 杨承亮；

【导师】 李扬；

【作者基本信息】 中国社会科学院研究生院 ， 金融学， 2014， 博士

【摘要】 国际经验显示，离岸金融市场的形成和发展是金融全球化的重要标志，不仅给传统在岸金融市场带来了革命性的改变，也是美元、日元成为国际储备货币的重要推手。近年来，人民币国际化步伐提速，香港、新加坡伦敦等人民币离岸市场快速发展，人民币离岸市场和在岸市场的联动日益增强。在未来的国际货币体系中，人民币将成为重要的交易和储备货币，而建立健全人民币离岸市场将是人民币实现国际化的必由之路和重要抓手。本文按照提出问题—分析问题—解决问题的思路，从理论视角和历史视角着手，将定性分析与定量研究结合，把现实分析和政策选择作为研究重点，对人民币离岸市场与在岸市场联动关系、内在机制及政策含义等进行了深入分析和系统讨论。首先，本文对离岸和在岸市场的有关文献做了全面回顾，运用利率平价理论、国际收支理论、金融创新理论、货币危机理论梳理了离岸、在岸市场的联动渠道。其次，研究了香港等人民币离岸金融市场的业务、特点和趋势，分析当前人民币离岸货币市场、外汇市场、债券市场发展中面临的主要问题。第三，综合运用协整检验、格兰杰因果关系检验、VAR模型和脉冲响应分析人民币在岸市场与香港离岸市场的利率价格、汇率价格之间的联动关系，深入探讨人民币离岸市场与在岸市场的资本流动管道、套利模式、互动机制。第四，通过历史回顾和计量分析研究美元、日元、泰铢主要离岸市场与在岸市场联动关系，总结提炼离岸市场发展对一国货币国际化的影响及其对中国的启示。最后，提出加快发展人民币离岸市场以更好推动人民币国际化的政策建议，包括加快在岸金融市场改革、推动离岸市场建设、加强金融监管协调等方面政策建议。更多还原

【Abstract】 International experience shows that the formation and development of offshorefinancial markets is an important indicator of financial globalization, not only to bringa revolutionary change to the traditional onshore financial markets, but also push theU.S. dollar and the Japanese yen to become an important driving force of internationalreserve currency. In recent years, the pace of RMB internationalization sped up, therapid development of offshore RMB markets in Hong Kong and London havefacilitated the internationalization of the RMB, and the RMB offshore market and theonshore market linkage growing.In the future international monetary system, theRenminbi will become an important trading and reserve currency, the establishmentof offshore RMB markets is a necessary process leading to the internationalization ofRMB.This paper follows the logic of identifying the problem, analyze it and solve it.The in-depth analysis and systematic discussion of the linkage and interactionbetween the RMB offshore and onshore markets is based on a theoretical andhistorical perspective, a combination of qualitative and quantitative research, with afocus on the analysis of the situation on the ground and policy options.The paper begins with a review of recent literature on offshore and onshoremarkets, to be follwed by the analysis of the linkage and interations between theoffshore and onshore markets based on the interest rate parity theory, the theory ofinternational payments, the financial innovation theory, and the currency crisis theory.Next, the paper focuses on analyzing the characteristics, businesses, mechanisms andtrends, of Hong Kong and other offshore financial markets, the the main problemsfaced by the offshore RMB money market,foreign exchange market,and bond market.In the third part,by making use of the latest data cointegration test, Granger causalitytest, the VAR model and the impulse response analysis, the author studied the linkagebetween the onshore renminbi market and the Hong Kong offshore market interestrates and exchange rates, and made an in-depth analysis of the channels of capitalflow, arbitrage model, and interaction mechanisms of the onshore and offshore markets. In the fourth part, it goes on to study the linkage of the dollar, yen and bahtoffshore markets with their onshore markets with an ecconometrics approach.summarize the impact of the offshore market development for the internationalizationof the currency of a country and its enlightenment to China.Lastly, the paper put forthsome policy proposals on the development of offshore RMB markets. It pointed outthe onshore financial market reform and the development of the offshore marketsshould be acceletrated, and financial supervision and coordination should bestrengthened.更多还原