粤港澳大湾区金融开放性研究——港币与人民币抛补利率平价实证分析
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摘要
粤港澳大湾区跨境金融合作态势较好,但跨境人民币合作业务仍然受限。香港作为全球最大的离岸人民币市场,本文实证分析港币与人民币的抛补利率平价在一定程度检验香港和内地金融市场自由化程度,反映粤港澳大湾区金融开放程度。同时,本文选取香港市场上港币与美元作为对比研究。通过实证发现港币兑人民币远期汇率、即期汇率、港币利率、人民币利率之间存在长期稳定关系,汇率市场的近期突变能被市场快速消化,而预期的变化会在市场上逐渐放大显现。但是香港市场人民币和港币并不满足抛补利率平价,人民币跨境流动性不足和开放程度不够。
The Guangdong-Hong Kong-Macao Greater Bay Area has witnessed rapid development and a good momentum of cross-border financial cooperation, but cross-border RMB cooperation business is still limited. Hong Kong is the world's largest offshore Renminbi market. We choose HK market to carry out empirical study on uncovered interest rate parity of HKD and RMB, so as to test the financial market liberalization between Hong Kong and the mainland, and the financial openness in the Guangdong-Hong Kong-Macao Greater Bay Area. At the same time, HKD and USD in the Hong Kong market are taken as a comparative study. The empirical results show that there is a long-term stable relationship between the forward exchange rate of HKD & RMB, the spot exchange rate, the interest rate of HKD and the interest rate of RMB.Recently sudden changes in the exchange rate market can be quickly digested by the market, while market expectation will be gradually amplified in the long run. HKD and RMB in the Hong Kong market do not meet the uncovered interest parity, for the cross-border liquidity and openness of RMB are insufficient.
The Guangdong-Hong Kong-Macao Greater Bay Area has witnessed rapid development and a good momentum of cross-border financial cooperation, but cross-border RMB cooperation business is still limited. Hong Kong is the world's largest offshore Renminbi market. We choose HK market to carry out empirical study on uncovered interest rate parity of HKD and RMB, so as to test the financial market liberalization between Hong Kong and the mainland, and the financial openness in the Guangdong-Hong Kong-Macao Greater Bay Area. At the same time, HKD and USD in the Hong Kong market are taken as a comparative study. The empirical results show that there is a long-term stable relationship between the forward exchange rate of HKD & RMB, the spot exchange rate, the interest rate of HKD and the interest rate of RMB.Recently sudden changes in the exchange rate market can be quickly digested by the market, while market expectation will be gradually amplified in the long run. HKD and RMB in the Hong Kong market do not meet the uncovered interest parity, for the cross-border liquidity and openness of RMB are insufficient.
引文
[1]环球银行金融电信协会.人民币成为第二大国际贸易融资货币[EB/OL].[2018-10-11].http://www.yijia169.com/a/guojixinwen/2018/1011/4738.html.
[2]跨境贸易人民币结算现状及思考--基于在广东省的调研[EB/OL].[2014-08-06].http://www.financialnews.com.cn/zt/2014dxzs/201408/t20140806_60761.html.
[3]人民币外汇交易额升至全球第8位,日均2020亿美元[2016-09-05].http://www.sohu.com/a/113644771_335495.
[4]Jacob A.Frenkel,Richard M.Levich.Covered Interest Arbitrage:Unexploited Profits?[J].Journal of Political Economy,1975(1):3-16.
[5]Meredith G,Chinn M D.Long-Horizon Uncovered Interest Rate Parity[J].Nber Working Papers,1998.
[6]徐少卿,王大贤.当前人民币跨境结算中的套利行为分析[J].南方金融,2012(1):69-71.
[7]肖崎,阮健浓.香港人民币离岸市场发展中的套利套汇问题研究[J].亚太经济,2013(5):144-148.
[8]苏真.跨境人民币发展下的套利交易研究及业务创新启示[J].农银学刊,2014(2):63-66.
[9]张志超.港币汇率是否高估:一个经验分析[J].世界经济,2001(1):23-28.
(1)脉冲反应函数表示当给X变量一个单位的冲击后,会引起Y变量在多个时期后的变化情况,由此观测X变量对Y变量的影响情况和程度。
[2]跨境贸易人民币结算现状及思考--基于在广东省的调研[EB/OL].[2014-08-06].http://www.financialnews.com.cn/zt/2014dxzs/201408/t20140806_60761.html.
[3]人民币外汇交易额升至全球第8位,日均2020亿美元[2016-09-05].http://www.sohu.com/a/113644771_335495.
[4]Jacob A.Frenkel,Richard M.Levich.Covered Interest Arbitrage:Unexploited Profits?[J].Journal of Political Economy,1975(1):3-16.
[5]Meredith G,Chinn M D.Long-Horizon Uncovered Interest Rate Parity[J].Nber Working Papers,1998.
[6]徐少卿,王大贤.当前人民币跨境结算中的套利行为分析[J].南方金融,2012(1):69-71.
[7]肖崎,阮健浓.香港人民币离岸市场发展中的套利套汇问题研究[J].亚太经济,2013(5):144-148.
[8]苏真.跨境人民币发展下的套利交易研究及业务创新启示[J].农银学刊,2014(2):63-66.
[9]张志超.港币汇率是否高估:一个经验分析[J].世界经济,2001(1):23-28.
(1)脉冲反应函数表示当给X变量一个单位的冲击后,会引起Y变量在多个时期后的变化情况,由此观测X变量对Y变量的影响情况和程度。