香港离岸市场与内地在岸市场的联动关系分析

The Correlation Analysis of Offshore Market in Hong Kong and Mainland Market

摘要: 近年随着来香港人民币离岸市场规模的不断扩大，离岸与在岸市场的联系更加紧密。然而在当前货币不完全兑换和资本项目未完全开放的前提下发展香港人民币市场将对内地货币政策的实施可能会产生负面的影响。本文首先从利率、汇率两个角度分析人民币离岸市场对境内货币政策影响的理论机理，然后选取相关变量指标建立VAR模型，利用2013年7月1日至2015年8月1日的日度数据，运用格兰杰因果检验，脉冲响应等方法分析香港离岸市场与内地在岸市场的联动关系。实证结果表明，内地在岸市场的利率水平对香港离岸市场的利率水平具有引导作用；而香港离岸香港人民币兑美元的即期汇率（CNH）与境内人民币兑美元即期汇率(CNY)之间存在双向的联动关系。

Abstract: In recent years, with the expansion of the offshore RMB market in Hong Kong, the relation of the offshore and onshore markets becomes more closely. However, with the currency being not fully convertible, and capital project being not completely opened, developing the market of RMB in Hong Kong will adversely affect the implementation of monetary policy. Firstly, this paper analyzes the mechanism of the offshore RMB market to the domestic monetary policy in two parts of interest rates and exchange rate respectively. Then we used the relevant variables to establish a VAR model and made the Granger Causality tests and impulse response to analyze the relationship of the offshore and onshore markets with the daily data from July 1st, 2013 to August 1st, 2015. The empirical results show that the interest rates of mainland market will play a leading role in the rates interest of Hong Kong. The spot exchange rate of USD/RMB in Hong Kong will infect the rate in mainland each other.