利率平价理论在中国的适用性--基于债券市场开放的视角

在梳理利率平价文献的基础上,本文从影响中资企业离岸在岸债券收益率的影响因素入手,探讨了利率平价理论在中国的适用性。通过对2010年以来投资级中资企业美元债与境内高等级信用债的计量分析发现,由于资本管制,长期以来抵补利率平价并不适用于中国。伴随着“债券通”之后中国债券市场开放程度的逐步扩大,以及人民币汇率灵活度的提升,自2017年年中以来,抵补利率平价理论开始适用于中国,即使是2020年的疫情冲击也未改变上述关系。汇率成本是影响离岸债券收益率的重要因素,套息交易的作用相对有限。进一步地,本文针对投资级城投债、房地产债的计量分析表明,产业和融资政策限制影响了企业境内外相关债券收益率的相关性,市场不完全是导致利率平价理论在中国不成立的重要原因。本文的研究为我国系统性推动包括债券市场在内的高水平金融开放提供了实证基础。

The Applicability of Interest Rate Parity Theory in China:An Analysis from the Perspective of the Bond Market

With a comprehensive review on the theory of interest rate parity(IRP),this paper analyzes the applicability of IRP in China,starting from the factors that affect the yields of offshore and onshore bonds of Chinese enterprises.We test the relationships between the yields of offshore investment-grade US dollar bonds and onshore high-grade credit bond since 2010.The empirical results show that Covered IRP(CIRP)was not applicable to China for a long time due to the existence of capital controls.Along with the gradual expansion of the openness of China’s bond market after the"Bond Connect"and the increased flexibility of the RMB exchange rate,the CIRP has been applicable to China since mid-2017,and even the epidemic shock in 2020 has not changed the above relationship.While exchange rate cost is an important factor affecting offshore bond yields,the role of interest rate hedging transactions is relatively limited.The empirical analysis on the investment-grade local government SPVs and real estate bonds show that industrial and financing policy restrictions affect the correlation between corporate domestic and foreign-related bond yields,and market incompleteness is an important reason why the results do not support the establishment of CIPR.This paper provides the empirical foundation for China to systematically promote a high level of financial openness,including the bond market.