日元离岸与在岸利率联动效应研究  

A Study on the Linkage Effects of Off-shore and On-shore Interest Rates of the Yen

作　　者：冯永琦[1] 梁蕴兮[1] 裴祥宇[1] 

机构地区：[1]吉林大学经济学院,吉林长春130012

出　　处：《现代日本经济》2014年第1期28-35,共8页Contemporary Economy OF Japan

基　　金：国家社科基金重大项目"中国积极参与国际货币体系改革进程研究"(10&ZD054);中国博士后科学基金项目"离岸金融市场发展与境内外人民币价格信息传递关系研究"(2013M541271);吉林大学科研项目"香港人民币离岸市场建设与人民币国际化前景研究"(2012BS047);吉林大学哲学社会科学创新团队项目"国际金融理论创新与国际货币体系改革研究"(2012FRTD02)

摘　　要：日本早已开放资本账户、完成利率自由化,并建立了离岸金融市场,这些金融开放政策必然会对日元离岸与在岸利率联动效应产生重要影响。本文立足日本资本账户逐步开放和利率自由化的背景,运用Granger因果检验和多元GARCH模型等方法,分析了日元离岸与在岸的利率联动效应。结果表明,日元离岸与在岸利率相互传导在不同阶段有着不同的表现;资本账户开放对离岸与在岸利率传导的影响具有滞后性;利率自由化是离岸与在岸利率联动效应增强的重要内部条件。这些结论对人民币国际化、中国的资本账户开放和利率自由化都具有重要的借鉴意义。Japan has already opened its capital accounts, realized interest rate liberalization and established off - shore financial market. The open financial policies necessarily generated crucial influence on the linkage effects of off - shore and on - shore interest rates of the yen. Based on the background of gradual open of cap ital accounts and interest rate liberalization, using Granger causality tests and multivariate GARCH model, this article analyzes the linkage effects of off - shore and on - shore interest rates of the yen. The results show that mutual transmission mechanism between off - shore and on - shore interest rates of the yen varies in different stages ; the openness of capital accounts has lag effects on the transmission of off - shore and on - shore interest rates of the yen ; the liberalization of interest rate is the important internal condition which strengthens the link age effects of off - shore and on - shore interest rates of the yen. The conclusions are of great significance to China;s RMB intemalization, capital accounts openness and liberalization of interest rate.

关 键 词：日元 离岸利率 在岸利率 GARCH-BEKK 联动效应 

分 类 号：F833.313.5[经济管理—金融学]