汇率改革对中国外汇市场有效性的影响——基于利率平价理论的实证研究  

The RMB Exchange Rate Reforms and Market Efficiency——An Interest Rate Parity Perspective

作　　者：金昭 李思扬 胡杏 施展 Zhao Jin;Siyang Li;Grace Xing Hu;Zhan Shi(School of Finance,Central University of Finance and Economics;PBC School of Finance,Tsinghua University)

机构地区：[1]中央财经大学金融学院 [2]清华大学五道口金融学院

出　　处：《经济管理学刊》2023年第4期239-278,共40页Quarterly Journal of Economics and Management

基　　金：清华大学文科建设“双高”计划项目(2021TSG08301)。

摘　　要：本文采用2011—2022年离岸市场利率平价偏离(CIP偏离)指标衡量汇率市场有效性,研究了“8·11”汇改等汇率改革政策对外汇市场有效性的影响。本文发现:①离岸市场CIP偏离平均为正;②“8·11”汇改后CIP偏离在汇率政策偏市场阶段显著下降,而在偏调控阶段则与汇改前无明显差异;③离岸与在岸市场CIP偏离存在差异。汇改对CIP偏离的影响机制有二:其一,汇率改革让价格市场化,使得汇率价格在套利作用下向利率平价成立方向移动;其二,汇率改革减少了市场摩擦和不确定性风险,“8·11”汇改后套利限制和市场风险相关变量与CIP偏离之间的关系大幅减弱。离岸市场是跨境交易的主要依托和人民币国际化的关键环节,本文结果补充了汇率改革对离岸市场有效性的影响,为进一步推进人民币国际化、加强汇率和金融市场开放提供了政策参考。With the largest foreign reserves and the third-largest weight in the SDR basket,China's exchange rate policy has become increasingly important in international trade and the global financial market.In this paper,we assess the impact of reforms of the RMB exchange rate regime on the off-shore FX market efficiency,from the perspective of deviations from covered interest rate parity(CIP).In particular,we examine the magnitude of CIP deviations as well as what drives these deviations under different policy regimes.Given the relatively strict capital controls in China,we focus on the off-shore RMB and calculate the CIP deviations with respect to five major currencies—the US dollar,the euro,the Japanese yen,the Australian dollar,and the British pound—over the 2011—2022 period.We find that the CIP deviations of the RMB are on average positive.As part of the RMB internationalization effort,the PBC changed the RMB/USD central parity quoting mechanism on August 112015,with the intention of enhancing the market determination of the RMB exchange rate.We take this“8·11”reform as the cut-off and examine the level and determinants of CIP deviations before and after this event.We find that the CIP deviations are significantly lower in the period after the“8·11”reform relative to that before the reform.This decline in CIP deviations is mainly driven by the market-oriented policy regimes rather than the regulation-oriented regimes,indicating that the market-oriented exchange rate reform improves the efficiency of the foreign exchange market.In addition,we document two economic mechanisms through which the exchange rate reform influences CIP deviations.First,the exchange rate reform promotes price liberalization,tightening the interest rate parity.Second,the reform reduces market friction and uncertainty associated with government interventions.This paper further examines the potential determinants of CIP deviations at daily and monthly frequencies,which are grouped into three categories:limits to arbitrage,market

关 键 词：抛补利率平价偏差 “8·11”汇改 人民币国际化 

分 类 号：F822[经济管理—财政学] F832