中国离岸市场利率期限结构特征研究——基于面板宏观金融模型的分析

On Characteristics of Term Structure of Interest Rates in Offshore Market:An Analysis Based on PMFM

文章以在岸经济与市场为基础和参考,基于面板宏观金融模型,分别对离岸市场上属于短期的香港同业拆借利率(HIBOR)和属于中长期的离岸人民币(CNH)债券市场的期限结构进行了分析。研究发现,两个离岸利率市场具有以下的新特征:首先,离岸与在岸利率市场存在不同的运作规律,离岸利率市场甚至对部分在岸宏观经济变量的未来趋势有更好的判读,从而可用于决策参考;其次,离岸市场中投资者更愿意承担风险去持有人民币资产,这不仅是基于对人民币升值趋势的判断,也是人民币国际化的良好市场信号;最后,中长期的CNH债券市场与短期的HIBOR人民币市场之间的差异表明,人民币虽然在国际经贸往来中相对活跃,但离岸资本市场仍有待加速建设发展。上述结果有利于理解市场化利率的运作机制,也为中国离岸与在岸利率市场的发展完善以及利率市场化提供了参考信息。

Based on onshore economy and market,this paper analyzes term structures of interest rates in HIBOR and CNH bond markets respectively based on panel macrofinance model(PMFM).It indicates that two offshore interest rates markets have the following characteristics:firstly,onshore and offshore interest rates markets have different operation rules and the offshore interest rates market even better foretells future trends of partial onshore macro-economic variables,thereby being used for decision-making reference;secondly,investors in offshore market are willing to hold CNH assets by bearing risks,which is not only ajudgment based on the forecast of CNY appreciation trend but also a sound indication of the opportunity for internationalization of CNY;finally,the differences between medium-and-long-term CHN bond market and short-term HIBOR CNY market imply that CNY is active in international economic and trade exchanges,but there is space for further quick development of offshore capital market.The results abovementioned are beneficial to the understanding of operation mechanism of market-oriented interest rates and provide reference for the perfection of the development of onshore &offshore interest rates markets and the marketization of interest rates in China.