發(fā)布時(shí)間：2018-04-03 21:57

  本文選題：匯率波動(dòng)　切入點(diǎn)：人民幣國際化　出處：《復(fù)旦大學(xué)》2014年碩士論文

【摘要】：香港離岸人民幣中心建設(shè)以2004年開放人民幣存款為起點(diǎn),至2013年底已有十年發(fā)展。目前香港離岸人民幣業(yè)務(wù)已涵蓋存貸款、證券投融資、資金交易、資產(chǎn)管理等業(yè)務(wù),在岸—離岸循環(huán)機(jī)制初步建立。一方面內(nèi)地可充分利用香港國際金融中心的優(yōu)勢,推動(dòng)人民幣國際化與人民幣匯率改革進(jìn)程；另一方面,香港通過開展離岸人民幣業(yè)務(wù),增強(qiáng)自身國際競爭力,密切與內(nèi)地經(jīng)濟(jì)的互動(dòng)。香港離岸人民幣中心的建設(shè),也帶來了很多不利影響。由于內(nèi)地資本賬戶尚未完全開放,在岸人民幣匯率實(shí)行波幅管理,內(nèi)地與香港市場的融資環(huán)境相對(duì)脫節(jié)。香港—內(nèi)地人民幣匯差、利差產(chǎn)生的套利空間,引起短期資金跨境流動(dòng),進(jìn)而加劇人民幣匯率波動(dòng),挑戰(zhàn)內(nèi)地匯率政策與宏觀貨幣調(diào)控。套利空間的長期存在,也對(duì)香港離岸人民幣匯率的引導(dǎo)性、人民幣資產(chǎn)定價(jià)的有效性提出了疑問。本文研究香港、內(nèi)地的即期匯差、利差對(duì)人民幣匯率波動(dòng)的影響。創(chuàng)新性提出即期匯差、利差會(huì)影響人民幣資產(chǎn)配置地區(qū)的選擇,影響內(nèi)地市場的人民幣供求,進(jìn)而擾動(dòng)內(nèi)地人民幣即期匯率。本文建立匯率～即期匯差～利差聯(lián)動(dòng)VAR及VEC模型發(fā)現(xiàn),即期匯差的產(chǎn)生會(huì)引導(dǎo)人民幣匯率走向均衡,在長期對(duì)兩地利差存在溢出效應(yīng)。但外匯市場與資本市場聯(lián)動(dòng)性有限,匯差、匯率對(duì)利差的溢出反應(yīng)緩慢,從而導(dǎo)致了套利空間的長期存在,危害人民幣國際化進(jìn)程。人民幣匯率市場非有效市場。本文試圖從資產(chǎn)：配置地點(diǎn)的角度提供研究思路,希望為人民幣匯率改革與香港離岸人民幣市場前景提供建議。加快離岸人民幣市場規(guī)�；l(fā)展,開展各項(xiàng)離岸業(yè)務(wù)同時(shí)做好配套制度的建設(shè),早日實(shí)現(xiàn)人民幣國際化目標(biāo)。
[Abstract]:The offshore renminbi center in Hong Kong started with the opening of renminbi deposits in 2004 and has been developing for a decade by the end of 2013.At present, offshore renminbi business in Hong Kong covers deposit and loan, securities investment and financing, capital trading, asset management and so on.On the one hand, the mainland can make full use of the advantages of Hong Kong's international financial center to promote the process of RMB internationalization and RMB exchange rate reform; on the other hand, Hong Kong can enhance its international competitiveness by developing offshore renminbi business.Close interaction with the mainland economy.Hong Kong offshore RMB center construction, also brought many adverse effects.As the mainland's capital account has not yet been fully opened and the onshore renminbi exchange rate is subject to volatility management, the financing environment in the mainland and Hong Kong markets is relatively disconnected.The exchange rate difference between Hong Kong and the mainland, and the arbitrage space caused by the spread of interest rate, lead to short-term cross-border capital flow, which in turn aggravate the volatility of RMB exchange rate, and challenge the mainland exchange rate policy and macro-monetary regulation and control.The long-term arbitrage space also raises questions about the guidance of the offshore renminbi exchange rate in Hong Kong and the effectiveness of renminbi asset pricing.This paper studies the effect of spot exchange rate difference and interest rate difference on RMB exchange rate fluctuation in Hong Kong and mainland.Innovatively put forward spot exchange rate difference, interest rate difference will affect the choice of RMB asset allocation region, affect the supply and demand of RMB in the mainland market, and then disturb the spot exchange rate of mainland RMB.In this paper, the VAR and VEC models of exchange rate / spot exchange difference / interest difference linkage are established. It is found that the occurrence of spot exchange rate difference will lead the RMB exchange rate to balance, and there will be spillover effect on the interest rate difference between the two places for a long time.However, the linkage between the foreign exchange market and the capital market is limited, the exchange rate is different, and the spillover of exchange rate to the spread is slow, which leads to the long-term existence of arbitrage space and endangers the process of RMB internationalization.The RMB exchange rate market is not an efficient market.This paper attempts to provide research ideas from the point of view of asset: location, hoping to provide suggestions for the reform of RMB exchange rate and the prospect of offshore RMB market in Hong Kong.Accelerate the development of offshore RMB market on a large scale, carry out all kinds of offshore business at the same time, do well the construction of supporting system, and realize the goal of RMB internationalization as soon as possible.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.6

【共引文獻(xiàn)】

相關(guān)期刊論文 前10條

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本文編號(hào)：1707069