境内外人民币利率联动效应研究——基于离岸无本金交割利率互换被引量：52

Research on Linkage Effects between Onshore and Offshore RMB Interest Rates: Based on Non-deliverable RMB Interest Rate Swap

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摘要本文运用Granger因果检验和二元GARCH模型,研究了银行间市场利率互换、国债和金融债与离岸市场人民币无本金交割利率互换(NDIRS)之间的联动效应。结果表明,境内外人民币利率之间总体上存在双向报酬溢出效应和波动溢出效应,但境外利率在波动溢出方面占有明显优势,如3年和5年期NDIRS对境内利率互换和金融债表现出单向波动溢出。此外,境内外利率之间的动态正相关关系不稳定。 Using Granger causality test and Bivariate GARCH model, this paper studies the linkage effects be-tween interest rate swap, government bonds and policy finance bonds in inter-bank market and RMB Non-Deliv-erable Interest Rate Swap （NDIRS） in offshore market. The result suggests that there are two-way return and volatility spillover effects between onshore and offshore interest rates in general, but the offshore market is dominant in volatility spillover effects. For example, NDIRS has unidirectional volatility spillover to onshore IRS and policy finance bonds in 3-years and 5-year market. Besides, the positive dynamic correlations between onshore and offshore interest rates are unstable.

作者刘亚张曙东许萍

机构地区对外经济贸易大学中国人民银行上海总部

出处《金融研究》 CSSCI 北大核心 2009年第10期94-106,共13页 Journal of Financial Research

关键词利率联动效应二元GARCH模型波动溢出 interest rate, linkage effects, bivariate GARCH model, volatility spillover

分类号 F224 [经济管理—国民经济] F832.6 [经济管理—金融学]

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