跨境贸易人民币结算中的套汇套利机制及其结构性变化研究  

An Analysis of the Mechanism of Foreign Exchange Arbitrage and Interest Arbitrage in RMB Settlement of Cross-border Trade and its Structural Changes

作　　者：王庆龙[1] 刘力臻[1] WANG Qing-long;LIU Li-zhen

机构地区：[1]东北师范大学经济学院

出　　处：《国际经贸探索》2018年第10期74-87,共14页International Economics and Trade Research

基　　金：研究阐释党的十九大精神国家社科基金重大专项课题(18VSJ045)

摘　　要：文章对跨境贸易人民币结算中的套汇套利机制进行理论分析,并采用SV-TVP-VAR模型考察了套汇套利机制的结构性变化。结果表明:跨境贸易人民币结算收付比主要受套汇交易的影响。套汇交易存在自我收敛机制,但是当套利行为对人民币汇价的影响过大时,这种自我收敛机制会被破坏。文章的实证研究表明:"811汇改"后,离岸在岸人民币汇率的联动性有所增强,导致套汇套利机制发生了结构性变化。从短期目标看,未来应加强对跨境贸易人民币结算资金的宏观审慎管理;从长期目标看,应进一步推进利率和汇率的市场化改革。This paper makes a theoretical analysis of the mechanism of foreign exchange arbitrage and interest arbitrage in RMB settlement of cross-border trade and probes into its structural changes by applying SV-TVP- VAR model. The results indicate that foreign exchange arbitrage exerts stable impact on import -export ratio of RMB settlement of cross - border trade. There is a self-convergence mechanism existing in foreign exchange arbitrage, but the mechanism will be destroyed when the exchange rate of RMB is heavily influenced by interest arbitrage. The empirical research of this paper reveals that the linkage between the exchange rate of CNH and that of CNY has become stronger since ＂811 Exchange Reform＂. It leads to the structural changes of the mechanism of foreign exchange arbitrage and interest arbitrage. In the short term, the government should strengthen the macro-prudential management of RMB settlement of cross -border trade and in the long term, the reform of market-oriented exchange rate and interest rate should be further promoted.

关 键 词：跨境贸易人民币结算 套汇 套利 结构性变化 

分 类 号：F831[经济管理—金融学]