商业银行结售汇逆差与境内外利差汇差关系的VAR分析
VAR Analysis on the Relationship between the Deficit of the Settlement and Sale of Foreign Exchange of Commercial Banks and the Difference of Interest Rate Spread at Home and Abroad

在分析了“811汇改”后引发银行结售汇波动的诱因的基础上，本文讨论了本轮资本流动是套利性流动还是保值性流动以及藏汇于民的现状。基于HIBOR和SHIBOR利差以及境内即期和NDF汇差，本文对银行结售汇进行格兰杰因果检验和向量自回归VAR分析，分析的结果是：对汇率变动的预期引发企业和个人的货币保值性流动，是结售汇逆差的原因，利差则不是。
This paper analyzes the causes for the fluctuation of bank foreign exchange settlement and sale after the 811 exchange rate reform, and discusses whether this round of capital flow is an arbitrage flow or a hedging flow, and also discusses the current situation of foreign exchange accumulation held by the people. Granger causality test and vector autoregressive VAR analysis were carried out for bank settlement and sale of foreign exchange based on HIBOR and SHIBOR spreads and domestic spot and NDF exchange rates .The result of the analysis is that the expectation of exchange rate changes leads to the currency hedging flows of enterprises and individuals, which is the reason for the deficit of the settlement and sale of foreign exchange, while the interest rate difference is not.