近年来，随着人民币纳入SDR货币篮子与中国的综合实力不断提高，跨境人民币结算业务的大力开展，使得人民币作为结算货币已被大多数境外主体所接受，人民币国际化步入新阶段。而香港依据国内外形势环境与自身的优势，已成为最重要的离岸人民币市场。长期来看，离岸金融市场的发展能够更好地提高人民币的国际信用度，为人民币未来成为国际储备货币打下基础。同时可以全面深化在岸市场的金融体制改革，促进在岸金融市场的发展。因此，研究离岸市场与在岸市场之间的联动关系具有深刻的现实意义。本文以利率平价理论为基础，分析两个市场间的人民币资金流动与套利套汇机制；构建VAR模型，通过格兰杰因果检验、脉冲响应函数等计量方法研究两个市场利率与汇率的动态变化关系。主要结论为：两个市场在短期利率方面联动性弱；在汇率方面，离岸市场是人民币的价格信息中心，离岸市场的汇率引导在岸市场的汇率；汇率预期受到汇差和利差的影响显著。基于上述结论，提出加强利率汇率市场化改革，加快资本可自由兑换进程与增强在岸人民币外汇市场的定价权等政策建议。
In recent years, with RMB inclusion in SDR and the rising of China’s comprehensive power, RMB internationalization strategy is advancing. By carrying out the cross-border RMB settlement, the RMB now as the settlement currency is widely accepted by the overseas entities. In the processing of RMB internationalization, Hong Kong RMB offshore market has become the most important RMB offshore markets. In the long run, the development and establishment of offshore markets could increase credibility abroad, lay out a solid foundation for the RMB to become international reserve currency and deepen reform of financial system in onshore markets. Therefore, it will be great practical to study the interaction effect of two markets and their influencing factors. Based on the Interest parity theory, the paper analyzes the channel of RMB flow and arbitrage and hedging model. By making use of Granger causality test and the VAR model, the paper studies the dynamic changes between the interest rates and exchange rates. The empirical results show that in terms of the interest rates, there is a faint relationship between two markets in short terms. The price information is mainly transmitted from the offshore market to the onshore market; Off shore market may be the pricing center of RMB. According to empirical results, the paper suggests to boost market-based reform of interest rate and exchange rate and to accelerate the opening of capital account, to expand the circulation of offshore markets and onshore markets.
Gerber, P. (2011) What Currently Drives CNH Market Equilibrium. The Council on Foreign Relations & China Development Research Foundation Workshop on the International of the Renminbi, Beijing.
