香港发展人民币离岸市场的影响及对策分析

上海交通大学硕士学位论文香港发展人民币离岸市场的影响及对策分析姓名：陆明申请学位级别：硕士专业：金融学指导教师：马晔华2007011720042NDFNDFABSTRACTTHEANALYSISANDSUGGESTIONSONTHEINFLUENCESOFRENMINBIOFFSHOREMARKETDEVELOPINGINHONGKONGABSTRACTFromFebruary2004,fourRenminbibusinessesareopeneduptoHongKongbank.Theyaredeposit-taking,exchange,remittancesandRenminbicards.TheseRenminbibusinessesbuildafoundationfordevelopingtheRenminbioffshoremarketinHongKonginthefuture.Financialoffshoremarketplaysanimportantroleinthedevelopmentofglobaleconomics.Meanwhile,itsinfluencestothecurrencyreleasecountryarenotneglectable.TheRenminbioffshoremarketcanhelpChinesegovernmenttoabsorbtheRenminbicirculatingoutsidethecountrybacktothebanksystemandtoobtainthesupervisionexperienceswhenRenminbibecomesfullyexchangeable.ItwillalsohelpHongKongtoenforceitsstatusasfinancialcentre.Theoffshoremarketnotonlybringsthosegoodeffects,italsomakestheanti-moneylaundryandthemanagementofcapitalaccountmoredifficult.Furthermore,itwillreducetheefficiencyofthemonetarypoliciesmadebyChinesegovernment.WhentheoffshoreRenminbibusinessexpandstootherdomainssuchasloan,itwillbecomeastrongcompetitortotheonshoreRenminbibusiness.Furthermore,theinterestrateandexchangerateformedonafreemarketcanbethereferencefortheadjustmentsofonshoreinterestrateandonshoreforeignexchangemarket.ThepriceoftheoffshoreRenminbiproductNDFnotonlyreflectedtherealtendencyofRenminbiexchangerate,butalsopilotedthepriceofRenminbiforwardexchangerateinthedomesticmarket.InordertoreducethebadinfluencesoftheRenminbioffshoremarket,theChineseandHongKonggovernmentshouldcooperatecloselyandthemainlandbankshouldbemorecompetitive.TheRenminbioffshoremarketwilldevelopinHongKongstepbystepandonedayreachfullopen.KEYWORDS:Renminbi,Offshoremarket,HongKongMonetarypolicyNDF2007117200711720071171200311182004112003111920042252005102920602[7]2002[8][9][10][11]3NDF—41.1(OffshoreMoney)(OffshoreMarket),,,,,,,,,,51.21956--1958601963719652Q606801.3,:,,,,,,,,,20807801.41.51.5.1[2]8zW.L.SilberConstraint-inducedInnovationzE.J.Kane[3]9zDaviesCelaNoursezJ.R.Hicks(J.Niehans)10801.5.220601150122.120031118,200316,zz600020000z50000z20031119,,,,2004225,138.4130.9341.89,0.963.29,0.10115.73,11.12005101320051029200526zz600020000z5000080,000z100000142.2431/3152.3200422006740z2006736.58.7200428.95200672270420599.75051022616-2,0004,0006,0008,00010,00012,00014,00004204404604804100412052054056058051005120620640661ThechangeofRMBdepositvolumeinHongKongz199319933600020012200422004113022.782004z20041182004113025.932004430200411300.4917z200412119200411302.160.072.09183.13.1.1200316,:,,,,,,,,,,,1000,200(M2)20000,1200411128319307019,,,,,3.1.23.1.3199719958.520012.4209020012001670199815%2020037,62003,,2004,20048.11,20033.122005,8.2,920038.75.3,3.23.2.1FATF190,212000,,,3.2.2z22z,zz233.2.31.2.3.244.120Q4.280251199511[1]1463471443281279213123321471996707080264.3950.125-0.54.427285.15.1.1,z,,z,zz,,,,,,,,z,,295.1.2200410310.020.010.042006890.991.8922200612100.460.722.3510.53-2.5210.64-2.5830.651.802.6360.712.252.6812-2.522.86306631.361.060.265.1.3Libor0.0%1.0%2.0%3.0%4.0%5.0%6.0%7.0%8.0%9619699759819899950010090150210290350410490550610691121996-20061LiborFEDThetendencyofone-yearLiborRateandFEDFundRateduring1996to2006:1Libor:,,,,,,,,5.25.2.1322005213.8420042066.810.675.2.25.2.3NDF5.2.3.1NDFNDFNDFNDFNDFNon-DeliverableForward33NDFNDFNDFNDF19966,NDF,NDFNDF,NDFNDF,,,,,NDF,NDF,81.8,1BIS(BankforInternationalSettlements),NDF9020046[40]NDF12003220031500NDF5.2.3.2NDF34199419943.519951.6l8.281996112.253040199920302002,18.28199860199743.1NDFNDFNDFNDF35NDF,NDFNDFNDF-0.6-0.4-0.200.20.40.60.811.21.499199499899110030070010012016019021024028021203303703100420460490510550580512064067bps7.77.87.988.18.28.38.41NDF31999-01-012006-08-30NDFThetendencyofRMBexchangerateandone-yearNDFpriceduring1999-01-01to2006-08-30NDFbloombergNDF(bps)200572121999112006830NDFNDF61NDF51NDF1999-2006NDFNDF319992005NDF36NDF1998319992005NDF20021010,247.4FDI464FDI200220034SARS,90bps20038,200310,5150bps200411,,4700bps20053,620057,2,,2500bpsNDF2005721,8.2774/8.2818.23610.19520057228.11/20068307.96/0.019650.00705.2.3.3NDF,NDFNDF11NDF3711NDF-6000-5000-4000-3000-2000-1000010002000034036038031003120420440460480410041205205405605805100512062064bps7.57.557.67.657.77.757.87.857.97.9588.058.18.158.28.258.311NDF420034200641NDFThetendencyofone-yearRMBforwardpriceandNDFpriceduring2003-04to2006-04NDFbloombergNDFGrangerCausalityNDFz20034720064261DF1Y1NDFNDF1Y2005721NDFNDF2113bpsNDF416bpsNDF0.61450.818142003-04-072006-04-26NDF138DF1Y8.20118.20500.10838.36437.98752003-04-072005-07-20NDF1Y7.98987.95340.12948.26927.77960.6145DF1Y7.80417.79640.03527.98747.74812005-07-212006-04-26NDF1Y7.76257.75000.05107.86507.69050.8181zSpuriousRegressionUnitRootTest)ADFAugmentedDickey-FullerTestn5NDFADFADF1510DF1Y0.9839-3.4411-2.8661-2.5293D(DF1Y)-23.7989-3.4411-2.8662-2.5693I(1)NDF1Y-1.9383-3.4411-2.8662-2.56932003-04-072005-07-20D(NDF1Y)-25.3497-3.4411-2.8662-2.5693I(1)DF1Y-1.2556-3.4536-2.8760-2.5746D(DF1