两岸三地利率联系及其对货币统一的含义

Multivariate Cointegration Analysis on Interest Rates Relationships among Mainland,Hong Kong and Taiwan China and It's Implication to Monetary Unification

文章运用多变量协整检验方法对两岸三地的利率联系进行了检验。文章对政策性利率和货币市场利率做了区分,用前者分析两岸三地货币政策的趋同程度,用后者分析两岸三地金融市场之间的联系。同时,本文也考虑了美国与日本的货币政策和金融市场对两岸三地可能存在的影响。实证分析结果是:总体上,两岸三地的政策性利率和货币市场利率均存在长期均衡关系;政策性利率相对于区外保持一定的独立性,从长期趋势看,香港与大陆的利率联系比与美国的联系更为紧密,但是台湾地区还没有表现出这样的趋势;货币市场利率对区外经济体仍有较大的依赖性,区内联系相对较弱,尤其大陆与台湾地区之间。

This paper uses the multivariate cointegration tests to analyze the interest rates relationships among Mainland, Hong Kong and Taiwan China. The policy interest rates are used to find any link between monetary policies. The inter-bank borrowing interest rates are used to find any links between monetary markets. Some conclusions are drawn from the empirical tests： the policy interest rates and monetary markets interest rates, both of the two, are found the existence of long-run equilibrium relationship in the Chinese economic society. The policy interest rates of Mainland, Hong Kong and Taiwan China have maintained a certain degree of independence with the outside, Hong Kong＇ s interest rates have closer links with China's Mainland than with U.S.A., but Taiwan＇ s have not. The monetary markets rates remain closer links with outside than with one another, the link between China's Mainland and Taiwan is especially weak.