香港跨境贸易人民币结算影响因素分析——基于FMOLS模型和Granger因果检验被引量：8

An analysis of the influence factors of Hong Kong cross-border trade RMB settlement based on FMOLS model and Granger causality test

下载PDF

导出

摘要跨境贸易人民币结算比例不仅受到传统的计价货币选择因素的影响,还取决于在岸离岸的人民币汇率差异、人民币升值预期等特有因素.通过理论假设和实证,通过完全修正的最小二乘模型(fully modified OLS,FMOLS)分析了套汇、套利、人民币升值和离岸人民币存量对香港跨境贸易人民币结算比例的长、短期作用机理和影响程度.研究发现,以上4个因素对香港的跨境贸易人民币结算比例均有显著影响;跨境贸易人民币结算的可持续发展有赖于离岸市场的和汇率制度的完善. The current proportion of crossborder RMB trade settlement is not only affected by tht traditional factors, but also by the differences of onshore and offshore exchange rates, the impact of RM1 appreciation expectations and other unique factors. According to theoretical assumptions and empirica analysis, the longterm and shortterm influence of exchange arbitrages, interest arbitrages, th appreciation of RMB and the offshore RMB stock on the crossborder trade RMB settlement rate of Hong Kong was studied by the fully modified OLS model （FMOLS）. The results demonstrate that the fou factors have significant effects on the crossborder trade RMB settlement rate of Hong Kong, and that th sustainable development of crossborder trade RMB settlement depends on the improvements of offshor RMB market and the RMB exchange rate regime.

作者安文强王相宁

机构地区中国科学技术大学管理学院统计与金融系

出处《中国科学技术大学学报》 CAS CSCD 北大核心 2014年第6期516-522,共7页 JUSTC

基金安徽省自然科学基金(1208085MG119)资助

关键词计价货币选择跨境贸易人民币结算套汇套利 choice of invoice currency cross-border trade RMB settlement exchange arbitrages interest arbitrages

分类号 F831.7 [经济管理—金融学]

引文网络
相关文献

参考文献19

1Swoboda A K. The Euro-Dollar Market: An Interpretation [ M ]. Princeton, NJ: International Finance Section, Dept of Economics, Princeton University, 1968.
2McKinnon R I. Money in International Exchange: The Convertible Currency System[M]. Oxford: Oxford University Press, 1979.
3Donnenfeld S, Haug A. Currency invoicing in international trade: An empirical investigation [J]. Review of International Economics, 2003, 11(2) : 332- 345.
4Ligthart J E, Da Silva J. Currency Invoicing in International Trade: A Panel Data Approach [M]. London: Tilburg University Press, 2007.
5Donnenfeld S, Haug A. Currency invoicing of US imports [J]. International Journal of Finance Economics, 2008, 13(2) :184-198.
6Oi H, Otani A, Shirota T. The choice of invoice currency in international trade: Implications for the internationalization of the Yen [J]. Monetary and Economic Studies, 2004, 22(1): 27-63.
7Goldberg L S, Tille C. Vehicle currency use in international trade [ J ]. Journal of International Economics, 2008, 76(2) : 177-192.
8Giovannini A. Exchange rates and traded goods prices [J]. Journal of International Economics, 1988, 24: 45-68.
9Bacchetta P, Van Wincoop E. A theory of the currency denomination of international trade [J]. Journal of International Economics, 2005, 67(2) : 295-319.
10Friberg R. In which currency should exporters set their priees[J].Journal of International Economies, 1998, 45(1) : 59-76.

二级参考文献31

1巴曙松.人民币国际化的边贸之路[J].浙江经济,2003(15):11-12. 被引量：20
2刘汉中.Enders-Granger方法在协整检验中的应用研究[J].数量经济技术经济研究,2007,24(8):137-144. 被引量：19
3Gonzalo J. Five alternative methods of estimating long-run equilibrium relationships [ J ]. Journal of Econometrics, 1994, 60(2) : 203-233.
4Phillips P C B, Durlauf. Multiple time series regression with integrated processes[J]. Review of Economic Studies, 1986, 53(4) : 473-495.
5Phillips, Hansen. statistical inference in instrumental variables regression with I ( 1 ) Processes [ J 1- Reviews of Economic Studies, 1990, 57( 1 ) : 99-125.
6Stock J. Asymptotic properties of least-squares estimators of cointegrating vectors [ J ]. Econometrica, 1988, 55 (5) : 1035-1056.
7Balke N S, Fomby T B. Threshold cointegration[J]. International economic reviews, 1997, 38 (3) : 627- 645.
8Chan K S, Petruccelli J D, Tong H. A multiple threshold model AR( 1 )model[ J]. Journal of Applied Probability, 1985, 22(2) : 267-279.
9Bec F, Salem M B, Carrasco M. Tests for unit-root versus threshold specification with an application to the purchasing power parity relationship [ J ]. Journal of Business & Economic Statistics, 2004, 22(4) : 382-395.
10Newey W K, West K D. A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix [ J ]. Econometrica, 1987, 55 ( 3 ) : 703 -708.