离岸与在岸人民币债券市场的联动发展  

Research on the Linkage Development of Offshore and Onshore RMB Bond Markets

作　　者：迟雪丹 周佰成[1,2] Chi Xuedan;Zhou Baicheng(School of Economics,Jilin University,Changchun 130012,China;State-owned Economic Research Center,Jilin University,Changchun 130012,China)

机构地区：[1]吉林大学经济学院,吉林长春130012 [2]吉林大学中国国有经济研究中心,吉林长春130012

出　　处：《数量经济研究》2024年第3期122-142,共21页The Journal of Quantitative Economics

基　　金：国家社会科学基金一般项目“注册制改革对企业投融资的影响及其作用机制”(23BJY064)的资助。

摘　　要：运用TVP-VAR-DY模型对中国离岸与在岸人民币债券市场进行了实证研究。研究结果表明,离岸和在岸的人民币国债在不同期限的品种中都呈现显著的报酬和波动溢出效应,且存在不同期限间溢出强于相同期限间溢出的现象,说明不同期限品种的信息在两个市场中传递更为频繁。其中,离岸债券市场处于信息波动的主导地位并且已经取得一定的“定价权”。研究发现,两个市场各期限品种国债之间的溢出效应随时间而变化。目前,我国稳步推进资本账户开放,在岸债券市场逐渐在两个市场的互动中发挥主导作用。因此,政府和有关部门应不断完善中国离岸债券市场的制度和机制,一方面可以在国内建立离岸债券市场,来满足海外投融资需求,并且国内的离岸债券市场可以在现行的资本管制条件下尝试开放创新型金融市场;另一方面国内在建设离岸债券市场时可以重点发展离岸国债市场,以此带动其他离岸金融市场发展。We employed TVP-VAR-DY model to analyze the spillover effects between China's offshore and onshore RMB bond markets.The results show that:There are reward effects and volatility spillover effect between different maturities of offshore and onshore RMB treasury bonds.Besides,the spillover effect between different maturities is stronger than that between the same maturities.Among them,the offshore bond market is in the dominant position of information fluctuation and has obtained certain“pricing power”.It is found that the spillover effect between the same bond with different maturities in the onshore and offshore bond market changes with time.With the promotion of China's capital account opening,the onshore bond market gradually grasps the“pricing power”and increasingly plays a leading role in the interaction between the two markets.Therefore,the government and relevant departments should constantly improve the system and mechanism of China's offshore bond market.On the one hand,the offshore bond market can be constructed domestically,in order to meet overseas investment and financing needs,and the domestic offshore bond market can try to open up innovative financial markets under the current capital control conditions.On the other hand,in the construction of“onshore”offshore bond market,we can focus on the development of offshore treasury bond market,thus driving the development of other offshore financial markets.

关 键 词：人民币债券 溢出效应 离岸市场 TVP-VAR-DY模型 

分 类 号：F812.5[经济管理—财政学]