本文選題：滬港通　切入點(diǎn)：深港通　出處：《北京外國(guó)語(yǔ)大學(xué)》2017年碩士論文

【摘要】：本文旨在研究滬港通、深港通政策對(duì)人民幣離在岸市場(chǎng)利率相關(guān)性的影響。本文將人民幣香港銀行同業(yè)拆息定價(jià)(CNH-HIBOR)定義為人民幣離岸市場(chǎng)利率,選取上海銀行間同業(yè)拆放利率(SHIBOR)作為人民幣在岸市場(chǎng)利率。按照政策發(fā)生時(shí)間點(diǎn),分三個(gè)時(shí)間段2013年5月27日至2014年11月17日、2014年11月17日至2016年12月5日、2016年12月5日至2017年3月2日,將各期限人民幣香港銀行同業(yè)拆息定價(jià)(CNH-HIBOR)和上海銀行間同業(yè)拆放利率(SHIBOR)的高頻數(shù)據(jù),運(yùn)用協(xié)整檢驗(yàn)和格蘭杰因果檢驗(yàn)法,分階段研究了在滬港通政策和深港通政策正式實(shí)施之后,這一金融開(kāi)放措施是否有效地加強(qiáng)了離岸與在岸人民幣市場(chǎng)利率的相關(guān)性。研究結(jié)果表明,滬深港通政策未啟動(dòng)時(shí)期,離在岸市場(chǎng)各品種利率無(wú)格蘭杰因果關(guān)系,不存在穩(wěn)定的相關(guān)關(guān)系;滬港通政策啟動(dòng)后,對(duì)于3個(gè)月期限利率品種,離岸市場(chǎng)是在岸市場(chǎng)利率的格蘭杰原因,反向引導(dǎo)關(guān)系不存在,一年期離岸市場(chǎng)與在岸市場(chǎng)利率存在雙向的格蘭杰因果關(guān)系,其他期限品種無(wú)相關(guān)關(guān)系。滬港通實(shí)施后,有兩種期限利率存在聯(lián)系,聯(lián)動(dòng)效應(yīng)有一定提高;深港通政策實(shí)施后,隔夜、一周、兩周利率品種的在岸市場(chǎng)利率是離岸市場(chǎng)利率的格蘭杰原因,存在單向的格蘭杰因果關(guān)系,反向不成立。一個(gè)月利率品種的在岸與離岸市場(chǎng)利率互為格蘭杰原因。短期利率互動(dòng)關(guān)系有顯著加強(qiáng),由于深港通政策推行時(shí)間尚短,無(wú)法檢驗(yàn)長(zhǎng)期相關(guān)性�？傮w來(lái)看,滬港通政策實(shí)施后,僅兩種利率品種存在相關(guān)關(guān)系,其余大部分不存在長(zhǎng)期穩(wěn)定的相關(guān)關(guān)系,也不存在明顯的格蘭杰因果關(guān)系。深港通政策實(shí)施后,四種利率品種表現(xiàn)出一定的相關(guān)性,而中長(zhǎng)期利率品種的格蘭杰檢驗(yàn),因政策出臺(tái)不足三個(gè)月,無(wú)法進(jìn)行研究。僅從當(dāng)前檢驗(yàn)結(jié)果觀察,可得出滬港通這一金融開(kāi)放政策實(shí)施之后,香港離岸市場(chǎng)和境內(nèi)在岸市場(chǎng)間信息溝通增強(qiáng)程度有限,互動(dòng)程度加深不明顯;深港通出臺(tái)后,離在岸市場(chǎng)人民幣利率相關(guān)性增強(qiáng),互動(dòng)有明顯增強(qiáng)。本文認(rèn)為深港通相較于滬港通,取消了總額限制,機(jī)制設(shè)計(jì)相對(duì)更完善,深港通政策疊加滬港通政策,有效增強(qiáng)了離岸與在岸市場(chǎng)間互聯(lián)互動(dòng)程度,離在岸人民幣利率相關(guān)性有所增強(qiáng)。雖然政策影響離在岸利率相關(guān)性的明確路徑尚不清楚,但這一金融開(kāi)放政策有效聯(lián)接了兩岸資本市場(chǎng),雙向資本流動(dòng)加深有利于推動(dòng)資本要素價(jià)格市場(chǎng)化、豐富離岸人民幣產(chǎn)品和業(yè)務(wù)、完善人民幣在岸匯率機(jī)制,是倒逼內(nèi)地資本市場(chǎng)和經(jīng)濟(jì)金融體制改革、促進(jìn)資本賬戶自由化、利率市場(chǎng)化和人民幣國(guó)際化的重要一步。同時(shí)也更好地促進(jìn)在岸與香港離岸市場(chǎng)的互動(dòng)與鏈接,為兩地金融市場(chǎng)穩(wěn)定創(chuàng)造更有利的條件。
[Abstract]:The purpose of this paper is to study the influence of Shanghai Stock Connect and Shenzhen-Hong Kong Stock Connect policy on the interest rate correlation of RMB off-shore market.In this paper, CNH-HIBOR is defined as the offshore market interest rate of RMB, and Shanghai Interbank offered rate (SHIBOR) is chosen as the onshore market interest rate of RMB.According to the timing of the policy, there are three time periods, 27 May 2013 to 17 November 2014, 17 November 2014 to 5 December 2016, 5 December 2016 to 2 March 2017,Using the cointegration test and Granger causality test, the high frequency data of CNH-HIBORand Shanghai Interbank offered rate (Shanghai Interbank offered rate) for each maturity of RMB Hong Kong Interbank offered rate (HKIBOR-CNH-HIBOR) are used.After the implementation of the Shanghai-Hong Kong Stock Connect Policy and the Shenzhen-Hong Kong Stock Connect Policy, this financial liberalization measure has effectively strengthened the correlation between offshore and onshore RMB market interest rates.The results show that there is no Granger causality and no stable correlation between the interest rates of all varieties in the onshore market during the period of no start of the Stock Connect Policy between Shanghai and Shenzhen.The offshore market is the Granger reason of the onshore market interest rate. The reverse guidance relationship does not exist. There is a two-way Granger causality relationship between the one-year offshore market and the onshore market interest rate, but there is no correlation between other maturity varieties.After the implementation of the Stock Connect between Shanghai and Hong Kong, there are two kinds of term interest rates linked, and the linkage effect has been improved. After the implementation of the Shenzhen-Hong Kong Stock Connect policy, the onshore market interest rates of overnight, one-week and two-week interest rates are the Granger reasons for the offshore market interest rates.There is a one-way Granger causality, the reverse does not hold.One month interest rate variety in the onshore and offshore market interest rates are Granger reasons.The short-term interest rate interaction has strengthened significantly, because the Shenzhen-Hong Kong link policy implementation time is still short, cannot test the long-term correlation.In general, after the implementation of the Shanghai Stock Connect policy, only two kinds of interest rate varieties have a correlation relationship, while most of the rest do not have a long-term stable correlation relationship, and there is no obvious Granger causality relationship.After the implementation of the Shenzhen-Hong Kong link policy, the four kinds of interest rate varieties showed certain relevance, but the Granger test of the medium and long-term interest rate varieties could not be studied because the policy was issued for less than three months.From the observation of the current inspection results, it can be concluded that after the implementation of the financial opening policy of Shanghai Stock Connect, the degree of information communication between the offshore market in Hong Kong and the onshore market in Hong Kong is limited, and the degree of interaction is not obvious; after the introduction of the Shenzhen-Hong Kong Stock Connect,Off-shore market interest rate correlation of RMB increased, the interaction has increased significantly.Compared with the Stock Connect between Shanghai and Hong Kong, Shenzhen-Hong Kong Stock Connect eliminates the total limit and the mechanism design is relatively perfect. The Shenzhen-Hong Kong Stock Connect policy overlay the Shanghai-Hong Kong Stock Connect policy, which effectively enhances the degree of interaction between offshore and onshore markets.Offshore RMB interest rate correlation has increased.Although it is not clear that the policy influence is related to interest rates onshore, this financial opening policy effectively links the capital markets across the Taiwan Strait, and the deepening of two-way capital flows is conducive to promoting the marketization of capital factor prices.Enriching offshore RMB products and business and perfecting the onshore exchange rate mechanism of RMB is an important step to push the reform of the capital market and economic and financial system in the mainland, to promote the liberalization of capital account, the marketization of interest rate and the internationalization of RMB.At the same time, it also promotes the interaction and links between onshore and Hong Kong offshore markets, thus creating more favorable conditions for the stability of financial markets in both places.
【學(xué)位授予單位】：北京外國(guó)語(yǔ)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F822.0

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