摘要
本文基于利率平价理论视角,对香港人民币离岸市场利率与汇率联动效应进行实证分析,研究发现,两者之间存在着显著的双向价格溢出效应,香港人民币离岸市场当期的汇率波动能够影响未来的汇率与利率波动,而当期的利率波动无法影响当期与未来汇率的变动。结论表明,香港人民币离岸外汇市场和货币市场具有较强的价格发现功能。
From the perspective of interest rate parity theory, this paper empirically analyzes the linkage effects of interest rate and exchange rate in Hong Kong offshore RMB market. It's found that there are significant bi-directional price spillover effects between interest rates and exchange rate; the current fluctuations in exchange rate in Hong Kong offshore RMB market can influence the future fluctuations in exchange rate and interest rate, but the current fluctuations in interest rate can't influence the current and the future fluctuations in exchange rate. The results of the paper show that the Hong Kong offshore RMB market and monetary market have strong functions of price discovery.
出处
《金融论坛》
CSSCI
北大核心
2015年第8期57-65,共9页
Finance Forum
基金
2014年福建省哲学社会科学规划重点项目"资本项目开放进程中的人民币国际化问题研究"(2014A027)
中国博士后科学基金第57批面上资助"香港人民币离岸市场对我国跨境投机资金的影响研究"(2015M571199)
关键词
人民币汇率
利率
联动效应
香港人民币离岸市场
RMB exchange rate
interest rate
linkage effect
Hong Kong RMB offshore market
