人民币套息交易:市场基础和收益风险特征

The RMB Carry Trade:Its Market Base and Income Risk Characteristics

在全球经济金融虚拟化背景下,利率与汇率的波动性增强。以跨国公司为代表的经济主体为实现利润最大化目标,在全球进行资源优化配置,频繁进出利率与汇率市场,进行套息交易。相应交易的长期性和广泛性表明,利率平价理论提出的利率与汇率间的平价均衡关系并不成立,套息交易对金融系统安全性具有负面影响。在资本账户未完全放开的条件下,关于人民币套息交易机理机制的实证研究表明,人民币套息交易有多种途径,大宗商品交易是较突出的渠道。因此,在人民币国际化过程中须健全金融监管,协调好资本账户开放的步骤与速度,防范套息交易危害实体经济发展。

Global economic and financial virtualization has seen a rise in the volatility of interest rates and exchange rates.To achieve their goal of maximizing profits,economic entities represented by transnational corporations are optimizing their global resource allocation,entering and leaving interest and exchange rate markets to engage in carry trade.The long-term and extensive nature of the corresponding transactions shows that the parity equilibrium relationship between interest and exchange rates proposed by interest rate parity theory is not tenable;the carry trade has a negative effect on the security of the financial system.An empirical study of the mechanism of the RMB carry trade shows that on the assumption that the capital account is not completely open,RMB carry trade has a number of channels,among which commodity trading is particularly prominent.Therefore,in the course of RMB internationalization,we need to improve financial supervision and coordinate the sequencing and pace of the opening of the capital account,to prevent the carry trade from jeopardizing the development of the real economy.