跨境直贷融资成本分析:基于利率平价和对冲策略的实证研究  

Analysis of the Financing Cost of Cross-Border Direct Loan:An Empirical Study Based on Interest Rate Parity and Hedging Strategies

作　　者：刘文生 李鑫 王磊[2] 刘霁萱 Liu Wensheng;Li Xin;Wang Lei;Liu Jixuan

机构地区：[1]国家开发银行香港分行 [2]国家开发银行陕西省分行客户六处

出　　处：《开发性金融研究》2024年第6期57-71,共15页Development Finance Research

摘　　要：在全口径跨境融资宏观审慎管理框架下,跨境直贷业务逐渐蓬勃发展,在连接境内外金融资源服务实体经济中发挥了重要作用。本文基于利率平价理论,运用2017年至2024年的LIBOR、SHIBOR、USD/CNY即期汇率和掉期点数据,构建了跨境直贷融资的基差指标(Cross-Currency Basis),并通过五种对冲策略模型,考虑中美不同货币政策影响,对跨境直贷融资成本进行了全面分析。结果表明:(1)掉期点和基差在研究期间呈现明显的时变特征,与中国金融开放进程密切相关;(2)完全对冲策略在大多数市场环境下表现最为稳定,是最优策略;(3)部分对冲策略在中美货币政策同向、中美利差较稳定的市场环境下,能在风险和成本之间取得一定平衡,但汇率锁定的时点最好不超过3个月。本研究为企业跨境融资决策提供了重要参考,同时为深入理解人民币汇率市场化进程中的风险管理问题提供了新的视角。Under the framework for Full-coverage Macro-prudential Management of Cross-border Financing,cross-border direct loan business has gradually flourished,playing an important role in connecting foreign and domestic financial resources to serve the real economy.Based on the interest rate parity theory,this paper uses LIBOR,SHIBOR,USD/CNY spot exchange rate and swap point data from 2017 to 2024 to construct a basis indicator(Cross-Currency Basis)for cross-border direct loan financing,and comprehensively analyzes the financing cost of cross-border direct loans through five hedging strategy models,considering the impact of different monetary policies in China and the United States.The results show that:(1)The Swap Point and Cross-Currency Basis exhibits significant time-varying characteristics during the study period,closely related to China’s financial opening process;(2)The full hedging strategy performs most stably in most market environments and it is the optimal strategy;(3)Partial hedging strategies can achieve a balance between risk and cost in market environments where monetary policies in China and the United States are aligned and the interest rate spread between China and the United States is relatively stable,but the timing of hedging the exchange rate risk is best not to exceed 3 months.This study provides important suggestion on corporate cross-border financing decisions and offers a new perspective for in-depth understanding of risk management issues in the process of RMB exchange rate marketization.

关 键 词：跨境直贷 宏观审慎管理 利率平价理论 基差 对冲策略 

分 类 号：F832.6[经济管理—金融学]