摘要
随着人民币国际化和资本账户开放的推进,人民币离岸金融市场发展迅速,市场类型日趋丰富。使用方向性波动溢出模型对离岸人民币外汇市场、离岸银行同业拆借市场、离岸债券市场、离岸股票市场之间风险传递的方向和规模进行研究发现:不同类型人民币离岸金融市场之间风险关联度逐渐增强;离岸人民币外汇市场是波动之源,它在离岸市场的风险传递网络中处于关键位置;同业拆借市场对其他离岸市场的风险溢出正在增强;各个离岸金融市场风险传递的方向和规模相当程度上受到在岸相应金融市场稳定性的影响。政策建议包括维护在岸市场稳定,境外的中资金融机构要积极发挥人民币离岸外汇市场和同业拆借市场做市商的职能,促进离岸市场稳定。
With the internationalization of RMB and the opening-up of capital account, the offshore financial markets of RMB develops rapidly and the market is becoming diversified. The existing literature focuses on the linkages between offshore and offshore financial markets. In this paper, the directional spillover model is used to explore the volatility transmission networks between the RMB offshore financial markets, including the foreign exchange market, the inter -bank offered market, the bond market and the stock market. The overall volatility transmissions are gradually increasing. The offshore RMB foreign exchange market is the center of volatility transmission networks, while the inter -bank offered market is witnessing an increasing net spillover to other offshore markets. The abnormal volatility transmission between offshore financial markets basically coincide with the turbulence of onshore corresponding financial market. Policy implications include maintaining the stability of the onshore markets and active market -makers of overseas Chinese financial institutions in the offshore RMB foreign exchange market and the inter -bank offered market.
作者
周先平
向古月
皮永娟
Zhou Xianping;Xiang Guyue;Pi Yongjuan(School of Finance, Zhongnan University of Economics and Law, Wuhan 430073, China)
出处
《金融理论探索》
2019年第2期24-33,共10页
Exploration of Financial Theory
基金
2019年湖北金融研究中心项目"湖北金融领域的风险及防范措施"(19FRC005)
2019年产业升级与区域金融湖北省协同创新中心项目"离岸市场与人民币国际化"(19CICIURF003)
关键词
离岸人民币外汇市场
离岸债券市场
离岸银行同业拆借市场
离岸股票市场
风险传递
方向性波动溢出模型
RMB offshore foreign exchange market
offshore bond market
offshore inter -bank offered market
offshore stock market
volatility transmission
directional spillovers model
