离岸人民币企业债市场有效性研究——基于人民币加入SDR前后的比较

Research on the Effectiveness of the Offshore RMB Corporate Bond Market——Based on a Comparison of RMB before and after Joining SDR

随着人民币国际化进程不断深入,离岸人民币债券市场得到了快速发展。文章选取恒生麦凯德离岸人民币企业债指数作为研究对象,以人民币加入SDR为界,分两个时间段进行分析,通过游程检验、方差比检验和GARCH模型检验,探讨了人民币纳入SDR是否影响离岸人民币企业债市场有效性。研究发现,离岸人民币企业债市场有效性在人民币加入SDR前后两个阶段均不满足弱式有效,但市场的有效性在加入SDR后得到加强。通过R/S分析法计算Hurst指数作为衡量市场有效性程度的指标,并分析了离岸人民币企业债市场有效性程度的影响因素,提出在岸与离岸人民币利差和汇差是离岸人民币企业债市场有效性的重要影响因素。最后,提出了不能仅仅依赖政策推动离岸人民币债券市场建设,而要增加离岸人民币债券市场发展的内生动力以及加强基础设施建设等政策建议。

With the deepening of RMB internationalization,the offshore RMB bond market has developed rapidly.In October 2016,the RMB was officially incorporated into the SDR,which has not only furthered the internationalization of the RMB,but also had a profound impact on the offshore RMB bond market.Based on this background,this paper explores whether the inclusion of RMB in the SDR affects the effectiveness of the offshore RMB corporate bond market.The Hang Seng McCain offshore RMB corporate bond index is selected as the research object,and the RMB is added to the SDR as the boundary.The analysis is divided into two periods.Through the run test,variance ratio test and GARCH model test,it is concluded that the offshore RMB corporate bond market does not meet weak-type efficiency in both stages,but the market’s effectiveness is strengthened after joining the SDR.The Hurst index is calculated by the R/S analysis method as an index to measure the degree of market effectiveness,and the factors affecting the degree of effectiveness of the offshore RMB corporate bond market are analyzed.Among them,the onshore and offshore RMB spreads and exchange rate differences are two important factors.Finally,it puts forward policy suggestions such as not relying solely on policies to promote the offshore RMB bond market,but to increase the endogenous driving force for the development of the offshore RMB bond market and to strengthen infrastructure construction.