汇率预期对境外人民币需求的影响

Impact of Exchange Rate Expectation on the Offshore RMB Demand

本文依据货币需求、货币竞争替代理论,以企业利润最大化为目标建立境外人民币需求函数,推导出影响境外人民币需求的主要因素。通过变结构协整和误差修正模型,重点分析了汇率预期和政策变革等因素对境外人民币需求的影响。结果表明,人民币汇率预期波动对境外人民币需求具有明显的长短期效应,随着资本项目进一步开放,汇率预期变化对境外人民币需求和中国国际收支影响将更加显著,国内政策需要关注汇率预期情况;政策因素,尤其是2010年以来的制度变革有力地推动了香港人民币存款增长和离岸人民币市场发展;而国内货币政策和利率变化对境外人民币需求的影响仍相对较小。

Based on the monetary demand and currency substitution theories, we constructed the offshore RMB demand function from the perspective of enterprises ＇profit maximization and deduced the main factors influencing the demand of offshore RMB. In the empirical analysis we further analyzed the impact of the exchange rate expectation and institutional factors on the offshore RMB demand by error correction model considering structural breaks. We find that the movement of exchange rate expectation has noticeable impact on offshore RMB demand in both long term and short term. As the capital account will gradually be liberalized in China, the effect of exchange rate expectation change on the offshore RMB demand and balance of payment activities is expected to become more significant and the policymaker should pay more attention to this. The related reforms, especially the cross-border RMB settlement policies, have significantly fueled the RMB deposit increase and the development of offshore RMB market in Hong Kong. However, the mainland monetary policy and interest rate movement have no significant impact on offshore RMB demand.