摘要
控制境内外人民币汇率价差在合理水平是保障人民币外汇市场稳定的重要环节和手段。本文以香港人民币市场为代表,运用时变转移概率Markov模型研究了2011年6月至2015年4月期间内地与香港人民币汇率价差的区制特征和区制转移的影响因素。实证结果表明:(1)汇差表现出显著的区制特征,在大部分时期内,汇差处于"正汇差-低波动"区制,这一差值可视为资本管制和内地与香港人民币市场结构差异对入境资本征收的"托宾税";在考察期的其他时段,汇差则处于"负汇差-高波动"区制;(2)汇差在区制间转移的概率受人民币汇率预期和境内外利差水平的影响,其中人民币升值预期和境内外利差扩大会促使汇差扩大,保持或转入"正汇差-低波动"区制的可能性提高。货币当局可以将影响人民币预期与调节利率水平作为管理境内外人民币汇差、稳定人民币币值和防范潜在金融风险的备选政策工具。
Controlling the exchange rate spread between CNY and CNH is important for keeping the RMB stable in the currency markets. Using the timevarying Markov regime-switching model, this paper studies the exchange rate spread between CNY and CNH from June 2011 to May 2014, including the characteristics and influencing factors of such a regime. Our results are as follows. For most of the period studied, the spread stayed positive and showed little volatility （＂Regime 1＂）, which could be considered as a ＂Tobin tax＂ resulting from the differences in the capital controls and market structures between CHY and CNH. What we call ＂Regime 2,＂ which existed the rest of the time, was a negative one and had high volatility. Secondly, the probability for switching between regimes were affected by expectations about the RMB and the interest rate spreads between home and abroad. An expectation that the RMB would appreciate, as well as larger differences in domestic and foreign interest rates helped the spread stay in Regime 1. We propose that monetary authority use the expectations on the RMB and interest rates as tools for narrowing the spread, maintaining market stability, and defending against fallout from inherent financial risks.
出处
《国际贸易问题》
CSSCI
北大核心
2016年第1期155-165,共11页
Journal of International Trade
基金
北京市社会科学基金研究基地项目"北京上市公司治理绩效与国企混合所有制改革问题研究"(14JDGA020)
对外经济贸易大学研究生科研创新项目"利率市场化
商业银行资产配置与货币政策有效性"(201422)
关键词
内地与香港人民币汇率价差
人民币外汇市场稳定
人民币汇率预期
跨境市场收益率差异
RMB exchange market stability
RMB exchange rate spread between CNY and CNH
RMB exchange rate expectation
foreign and domestic interest rate spread
