境内外人民币债券市场的联动关系及其影响因素分析

Co-movements between Onshore and Offshore RMB Bond Markets

随着人民币国际化的快速推进,离岸人民币债券市场迅猛发展。本文采用二元GARCH模型,研究了境内外人民币债券市场的联动关系,并使用EGARCH-X模型对境内外人民币债券市场的动态条件相关系数的影响因素进行分析。主要结论:在岸人民币国债、金融债指数变动对离岸人民币国债、金融债指数变动存在单向的信息引导关系;在岸人民币国债对离岸人民币国债存在单向的波动溢出效应,金融债存在双向的波动溢出效应;境内外市场的动态条件相关系数在不同时期起伏较大;境内外利差、境内外汇差、在岸人民币债券市场对外开放对国债指数、金融债指数的动态条件相关系数的影响均不显著;利差扩大能够增加相关系数的波动性;在岸市场对外开放程度提高能够降低相关系数的波动性;汇差对相关系数波动性的影响不显著。

The offshore RMB bond market is booming along with the rapid development of RMB internationalization. In this paper, co-movements between onshore and offshore RMB bond markets are explored with MVGARCH models, and the influencing factors of dynamic conditional correlations of onshore-offshore markets are analyzed with EGARCH-X models. Onshore RMB bond market has mean spillover effects on offshore RMB bond market, but those effects do not exist in the reverse direction; onshore market has volatility spinover effects on offshore market, but reverse effects do not hold; dynamic conditional correlations of onshore-offshore markets fluctuate in sample periods; the onshore-offshore interest gap, exchange rate gap and opening-up of onshore market to foreign investors have no significant effects on DCCs. The onshore-offshore interest gap can boost the volatilities of DCCs, while the opening-up of onshore market to foreign investors can reduce the volatilities of DCCs, with no significant effects of exchange rate gap on the volatilities of DCCs. Minor differences appear in robustness check.