兩岸貨幣清算機制簽署後對中港臺三地人民幣市場之影響-以共整合方法分析

Abstract

臺灣、香港與中國簽署貨幣清算協議之後，開啟離岸人民幣市場的發展，人民幣雖具有在岸、離岸兩種價格之特殊現象，但隨著離岸人民幣資金池的快速增長，中國推動人民幣國際化發展，可能促使在岸、離岸人民幣市場趨於整合。 本文針對中、港、臺三地人民幣匯率及利率等經濟變數進行研究，將傳統利率平價說進行延伸，推論經由市場價格機制運作，將形成在岸、離岸人民幣市場之緊密連動關係，研究期間為2014年9月至2016年3月之日資料（受限於臺灣人民幣拆款利率開始時間），實證方法上則是採用ADF單根檢定法（1984）以及Johanson（1990）的共整合檢定。 透過共整合檢定之軌跡測試法與最大特性根檢定法，對中、港、臺三地人民幣市場之未拋補利率平價說與延伸模型檢驗，結果顯示：（1）單獨檢驗三個地區皆具有長期均衡關係，即傳統未拋補利率平價說是成立的；（2）進而驗證出，中國與臺灣之間、中國與香港之間、臺灣與香港之間的人民幣匯率與拆款利率皆具有共整合關係，符合本論文對於在岸、離岸市場間長期呈穩定均衡情況之假設，即匯率或利率的波動，可能透過市場機制傳導至另一個市場，使其匯率或利率產生相應變動，在岸、離岸人民幣市場將具有亦步亦趨的共整合現象。

Offshore Renminbi（RMB） has seen substantial development after the MOU on Cross-Strait Currency Settlement Cooperation signed by Taiwan, Hong Kong and China. Despite the price vary differently onshore and offshore, the rapid growth of offshore RMB pool and the promotion of internationalization by China may harness integration of the currency both in onshore and offshore markets. This paper explores exchange rate and interest rate of Taiwan, Hong Kong and China, researching on the economic variables to extend traditional interest rate parity, while further reasoning the close relationship formed between onshore and offshore RMB markets through market price mechanism. The study collected data from September of 2014 to March of 2016(the period is subject to the opening time of RMB split rate in Taiwan). In terms of empirical methods, this research applied Unit Root Test of ADF（1984）and Cointergration of Johanson（1990）. Through the Trace Test method of Cointegration test and Maximum Eigen-value Test, the study examine the uncovered interest rate parity theory and the extension model of China, Taiwan and Hong Kong. The study discover the following:（1）A long-term balanced relationship was found in the three regions individually, which supported traditional interest rate parity theory;（2）A co-integrated relationship in exchange rate and inter-bank call-loan rate was found and proved to exist among China-Taiwan, China-Hong Kong and Taiwan-Hong Kong currency exchange. The findings of this research supported the hypothesis which assumed a stable and balanced rate in onshore and offshore markets. The fluctuations in exchange rate or interest rate of one market in the region can be reflected on the other market in the three regions. In addition, co-integration was also found in onshore and offshore RMB markets.