人民币套息交易对股票市场的影响:理论框架与实证检验

The Impact of RMB Carry Trade on the Stock Market: Theoretical Framework and Empirical Test

通过构建人民币套息交易对股票市场影响的理论框架,以及采用NARDL模型就人民币套息交易对股市收益率和股市波动率的非对称影响进行研究,结果发现:人民币套息交易对股市收益率的短期影响系数不显著,但长期影响系数在不同时期具有显著的异质性,即当人民币套息交易超额收益为负时降低了股市收益率、当超额收益均衡时对股市收益率的影响不显著、当超额收益为正时提高了股市收益率,且均不存在非对称特征;人民币套息交易对股市波动率的短期和长期影响系数在统计上均不显著,即目前人民币套息交易还不是股市波动率的主要原因,但从估计系数方向、大小及趋势来看,随着资本账户开放程度的加深,人民币套息交易对股市波动率的影响可能会逐渐显现并且不断增大。由此可见,人民币套息交易是影响中国金融市场稳定的重要因素之一,在人民币国际化进程和资本账户开放的过程中,应该将其纳入宏观审慎监管框架,防范套息交易对金融市场乃至实体经济的危害。

By constructing a theoretical framework of the impact of RMB carry trade on the stock market, this paper uses the NARDL model to conduct an investigation of the asymmetric effects of RMB carry trade on the yield rate and the volatility of stock markets. The findings show that:(1) the short-term impact of RMB carry trade on the stock markets is not significant, but the long-term effect has significant heterogeneity in different periods, namely, when the excess return of RMB carry trade is negative, the yield rate of the stock market will be reduced;when the excess return is balanced, the yield rate of the stock market will not be significantly affected;and when the excess return is positive, the yield rate of the stock market will be improved;and there is no asymmetric features.(2) the short-term and long-term impacts of RMB carry trade on the stock market volatility is not statistically significant, that is, the current RMB carry trade is not the main reason for the stock market volatility;however, in terms of the direction, size and trend of the estimated coefficients, the impact of RMB carry trade on the stock market volatility is becoming greater and more and more prominent with the deepening of the capital account liberalization. Thus it can be seen that RMB carry trade is one of the important factors affecting the stability of China's financial market, during the process of RMB internationalization and the capital account liberalization, RMB carry trade should be incorporated into the prudential regulatory framework to prevent the harm resulted from RMB carry trade from affecting the financial market and real economy.