跨境贸易人民币结算中的套汇套利机制及其时变特征——基于中国香港离岸市场的研究
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摘要
本文构建跨境贸易人民币结算流量模型,分析了跨境贸易人民币结算中的套汇套利机制,采用SV-TVP-VAR模型考察了套汇套利机制的时变特征。结果表明,跨境贸易人民币结算具有一定程度的投机属性,导致跨境贸易人民币结算收付比长期受套汇行为的影响。跨境贸易人民币结算中的套汇行为存在自我收敛机制,但是当套利行为对离岸人民币汇价产生影响时,套汇行为的自我收敛机制会被破坏,离岸与在岸人民币汇价差将长期存在。本文为分析人民币离岸市场与在岸市场间汇价差的动态变化,以及两个市场间的跨境贸易人民币资金流动提供了系统性的理论分析框架,为发展基于真实需求的跨境贸易人民币结算提供了政策参考。
This paper analyzes the mechanism of arbitrage and carry trade in RMB settlement of cross-border trade based on RMB settlement of cross-border trade flows model. By using the SV-TVP-VAR model, this paper analyzes the time-varying characteristic of arbitrage and carry trade in RMB settlement of cross-border trade. The results indicate that arbitrage have stable impact on import-export ratio of RMB settlement of cross-border trade, which indicates that the RMB settlement of cross-border trade has always shown an evidently speculative property. There exists a self-convergence mechanism of arbitrage activities, but when the reverse effect of carry trade on the exchange rate of CNH exceeds the effect of arbitrage, the above self-convergence mechanism will be destroyed. This paper provides a systematic theoretical framework for the analysis of the CNH-CNY pricing differential dynamic changes, as well as the flow of RMB funds between the two markets, and provides a policy reference for the development of RMB settlement in cross-border trade based on real demand.
This paper analyzes the mechanism of arbitrage and carry trade in RMB settlement of cross-border trade based on RMB settlement of cross-border trade flows model. By using the SV-TVP-VAR model, this paper analyzes the time-varying characteristic of arbitrage and carry trade in RMB settlement of cross-border trade. The results indicate that arbitrage have stable impact on import-export ratio of RMB settlement of cross-border trade, which indicates that the RMB settlement of cross-border trade has always shown an evidently speculative property. There exists a self-convergence mechanism of arbitrage activities, but when the reverse effect of carry trade on the exchange rate of CNH exceeds the effect of arbitrage, the above self-convergence mechanism will be destroyed. This paper provides a systematic theoretical framework for the analysis of the CNH-CNY pricing differential dynamic changes, as well as the flow of RMB funds between the two markets, and provides a policy reference for the development of RMB settlement in cross-border trade based on real demand.
引文
[1]陈珂,王萌.在岸与离岸人民币汇率价差影响因素研究[J].财经理论与实践, 2017(5):7-13
[2]陈丽,甄峰.香港离岸与在岸人民币套汇问题研究[J].国际金融研究, 2017(1):89-96
[3]李婧.从跨境贸易人民币结算看人民币国际化战略[J].世界经济研究, 2011(2):13-19
[4]王海龙.汇率、利率影响跨境资金流动分析[J].中国外汇, 2013(9):66-67
[5]翁洪服.人民币跨境套利交易研究:套利机制、实现渠道与正面效应[J].南方金融, 2013(2):25-29
[6]伍戈,裴诚.境内外人民币汇率价格关系的定量研究[J].金融研究, 2012(9):62-73
[7]肖崎,阮健浓.香港人民币离岸市场发展中的套利套汇问题研究[J].亚太经济, 2013(5):144-148
[8]余永定.从当前的人民币汇率波动看人民币国际化[J].国际经济评论, 2012(1):18-26
[9]张斌,徐奇渊.汇率与资本项目管制下的人民币国际化[J].国际经济评论, 2012(4):63-73
[10]张明,何帆.人民币国际化进程中在岸离岸套利现象研究[J].国际金融研究, 2012(10):47-54
[11]朱成科,史燕平.进口跨境人民币结算:抛补套利与利率平价失灵?[J].国际金融研究, 2015(11):69-76
[12] Cheung Y W, Rime D. The Offshore Renminbi Exchange Rate:Microstructure and Links to the Onshore Market[J]. Cesifo Working Paper, 2014(49):170-189
[13] Funke M, Shu C, Cheng X, et al. Assessing the CNH-CNY Pricing Differential:Role of Fundamentals, Contagion and Policy[J]. Journal of International Money&Finance, 2015(6):245-262
[14] Garber P, What Currently Drives CNH Market Equilibrium?[C]. the Council on Foreign Relations&China Development Research Foundation Workshop on the Internationalization of the Renminbi, Oct 31-Nov 1, 2011, Beijing
[15] Jouchi Nakajima. Time-Varying Parameter VAR Model with Stochastic Volatility:An Overview of Methodology and Empirical Applications[R]. IMES Discussion Paper Series No.2011-E-9, 2011
(1)企业可以选择关联交易等做法完成进口贸易的人民币支付,这部分人民币流量往往被计算到跨境贸易人民币结算总量中。
(1)M$无穷大的假定仅是为了追求数学逻辑的严谨,并不意味着产生了规模巨大的货币流量。一种合理的解释是,M$的数值很大,但是单位很小。
(1)汇差消失的结论离不开两个关键性假设:其一, CNY汇价为系统外生变量;其二,不存在汇兑成本。
(1)在样本期内, CNY汇价与CNH汇价之间的关系存在三个非常时期:2010年8月开始,由于香港离岸人民币市场发展迅速,市场对人民币需求急剧上升,流动性不足导致CNH汇价较CNY汇价更强势。2011年9月,欧债危机深化使得全球避险情绪上升,对美元需求的大幅上升导致CNH汇价较CNY汇价更弱势。2015年“8·11”汇改后,受市场悲观预期的影响, CNH汇价较CNY汇价更弱势。
[2]陈丽,甄峰.香港离岸与在岸人民币套汇问题研究[J].国际金融研究, 2017(1):89-96
[3]李婧.从跨境贸易人民币结算看人民币国际化战略[J].世界经济研究, 2011(2):13-19
[4]王海龙.汇率、利率影响跨境资金流动分析[J].中国外汇, 2013(9):66-67
[5]翁洪服.人民币跨境套利交易研究:套利机制、实现渠道与正面效应[J].南方金融, 2013(2):25-29
[6]伍戈,裴诚.境内外人民币汇率价格关系的定量研究[J].金融研究, 2012(9):62-73
[7]肖崎,阮健浓.香港人民币离岸市场发展中的套利套汇问题研究[J].亚太经济, 2013(5):144-148
[8]余永定.从当前的人民币汇率波动看人民币国际化[J].国际经济评论, 2012(1):18-26
[9]张斌,徐奇渊.汇率与资本项目管制下的人民币国际化[J].国际经济评论, 2012(4):63-73
[10]张明,何帆.人民币国际化进程中在岸离岸套利现象研究[J].国际金融研究, 2012(10):47-54
[11]朱成科,史燕平.进口跨境人民币结算:抛补套利与利率平价失灵?[J].国际金融研究, 2015(11):69-76
[12] Cheung Y W, Rime D. The Offshore Renminbi Exchange Rate:Microstructure and Links to the Onshore Market[J]. Cesifo Working Paper, 2014(49):170-189
[13] Funke M, Shu C, Cheng X, et al. Assessing the CNH-CNY Pricing Differential:Role of Fundamentals, Contagion and Policy[J]. Journal of International Money&Finance, 2015(6):245-262
[14] Garber P, What Currently Drives CNH Market Equilibrium?[C]. the Council on Foreign Relations&China Development Research Foundation Workshop on the Internationalization of the Renminbi, Oct 31-Nov 1, 2011, Beijing
[15] Jouchi Nakajima. Time-Varying Parameter VAR Model with Stochastic Volatility:An Overview of Methodology and Empirical Applications[R]. IMES Discussion Paper Series No.2011-E-9, 2011
(1)企业可以选择关联交易等做法完成进口贸易的人民币支付,这部分人民币流量往往被计算到跨境贸易人民币结算总量中。
(1)M$无穷大的假定仅是为了追求数学逻辑的严谨,并不意味着产生了规模巨大的货币流量。一种合理的解释是,M$的数值很大,但是单位很小。
(1)汇差消失的结论离不开两个关键性假设:其一, CNY汇价为系统外生变量;其二,不存在汇兑成本。
(1)在样本期内, CNY汇价与CNH汇价之间的关系存在三个非常时期:2010年8月开始,由于香港离岸人民币市场发展迅速,市场对人民币需求急剧上升,流动性不足导致CNH汇价较CNY汇价更强势。2011年9月,欧债危机深化使得全球避险情绪上升,对美元需求的大幅上升导致CNH汇价较CNY汇价更弱势。2015年“8·11”汇改后,受市场悲观预期的影响, CNH汇价较CNY汇价更弱势。