人民币入篮后SDR债券市场风险收益特征

The Risk-Return Characteristics of SDR Donds after the Inclusion of RMB into SDR Basket

本文在人民币入篮后中国与IMF积极推动扩大SDR使用的背景下,以2002~2016年月度数据为基础,利用模拟投资方法考察SDR债券市场的风险收益特征及其未来发展前景。结果表明:相比单币种计价债券,SDR债券具有显著和稳健的风险分散效应,能有效降低利率和汇率风险,并具有较高的风险调整收益。此外,SDR债券还具有提前配置的内在优势,人民币纳入SDR有助于进一步提升SDR债券吸引力;但SDR债券市场发展面临着货币权重相对固定、复杂性较高以及流动性不足等结构性障碍。

Based on the monthly data during 2002-2016, the authors of this paper use the simulated-investment method to research the risk-return characteristics of SDR bond market and its future development prospects in the context of in- clusion of RMB into SDR basket and the IMF actively promoting the use of SDR. The results of the paper show that the SDR bonds have significant and robust risk-diversification effects, effectively reduce the interest rate and exchange rate risk and have higher risk-adjustment returns compared with single currency denominated bonds. In addition, the SDR bonds have the inherent advantages of the pre-packaging, and the inclusion of RMB into the SDR helps enhance the at- tractiveness of SDR bonds further; however, the development of the SDR bond market faces the structural obstacles such as the relatively fixed monetary weight, high complexity and lack of liquidity, etc.