境内外人民币利率联动效应研究——基于离岸无本金交割利率互换

摘要

本文运用Granger因果检验和二元GARCH模型,研究了银行间市场利率互换、国债和金融债与离岸市场人民币无本金交割利率互换(NDIRS)之间的联动效应.结果表明,境内外人民币利率之间总体上存在双向报酬溢出效应和波动溢出效应,但境外利率在波动溢出方面占有明显优势,如3年和5年期NDIRS对境内利率互换和金融债表现出单向波动溢出.此外,境内外利率之间的动态正相关关系不稳定.%Using Granger causality test and Bivariate GARCH model, this paper studies the linkage effects between interest rate swap, government bonds and policy finance bonds in inter-bank market and RMB Non-Deliverable Interest Rate Swap (NDIRS) in offshore market. The result suggests that there are two-way return and volatility spiUover effects between onshore and offshore interest rates in general, but the offshore market is dominant in volatility spillover effects. For example, NDIRS has unidirectional volatility spillover 19 onshore IRS and policy finance bonds in 3-years and 5-year market. Besides, the positive dynamic correlations between onshore and offshore interest rates are unstable.