中国央行票据对人民币利率和汇率的影响——来自香港地区离岸市场的证据  

The Effectiveness of China’s Central Bank Bills on RMB Interest Rates and Exchange Rates——Evidence from the Hong Kong Offshore Market

作　　者：许雯 龚秀国[1] Xu Wen;Gong Xiuguo

机构地区：[1]四川大学经济学院

出　　处：《财经科学》2022年第2期47-59,共13页Finance & Economics

基　　金：2021年四川省金融学会重点课题“疫情下发达国家货币政策对我国经济金融影响研究”(SCJR2021165)。

摘　　要：本文采用事件分析法量化分析中国离岸央行票据发行对在岸和离岸人民币利率、汇率和汇率预期的影响。实证结果发现:第一,离岸央行票据发行对在岸和离岸人民币利率具有明显预公告效应,且在发行事件后对在岸和离岸人民币利率下跌有短期抑制作用;第二,离岸央行票据发行对离岸人民币汇率有预公告效应和缩小人民币贬值幅度的作用,但并不能抑制在岸人民币汇率的贬值趋势;第三,离岸央行票据发行使在岸和离岸人民币汇率均出现了短暂的汇率升值预期。This paper quantitatively analyzes the impact of offshore central bank bills issuance on onshore and offshore RMB interest rates,exchange rates and exchange rate expectations based on the event analysis.Empirical results are as follows.(1)The issuance of offshore central bank bills has a significant pre-announcement effect on onshore and offshore RMB interest rates,and it has a short-term restraining effect on the decline of onshore and offshore RMB interest rates after the issuance event.(2)The issuance of offshore central bank bills has a pre-announcement effect on the offshore renminbi exchange rate and reduces the extent of renminbi depreciation,but it cannot suppress the depreciation trend of the onshore renminbi exchange rate.(3)The issuance of offshore central bank bills gave rise to shortterm exchange rate appreciation expectations for both onshore and offshore RMB exchange rates.

关 键 词：离岸央行票据 人民币利率 人民币汇率 汇率预期 事件分析法 

分 类 号：F832.6[经济管理—金融学]