| 在岸与离岸市场人民币利率联动性分析 |
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| 引用本文： | 姚林华. 在岸与离岸市场人民币利率联动性分析[J]. 广西金融研究, 2014, 0(10): 43-46 |
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| 作者姓名： | 姚林华 |
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| 作者单位： | 中国人民银行百色市中心支行,广西百色533000 |
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| 摘 要： | 本文通过采用Granger因果检验和AM（1）-GARCH（1,1）模型分析了上海银行间同业拆放利率（Shibor）与香港人民币同业拆借利率（CNY Hibor）之间的联动性。结论表明：30天Shibor和CNY Hibor互为Granger因果关系,隔夜、7天和14天Shibor是CNY Hibor的Granger原因;在岸对离岸市场人民币利率的影响强于离岸对在岸市场人民币利率的影响。
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| 关 键 词： | 在岸市场 离岸市场 人民币 利率 |
Correlation Analysis of On-shore and Off-shore Interest Rates of RMB |
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| Yao Linhua. Correlation Analysis of On-shore and Off-shore Interest Rates of RMB[J]. JOurnal of Guangxi Financial Research, 2014, 0(10): 43-46 |
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| Authors: | Yao Linhua |
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| Affiliation: | Yao Linhua (PBC Baise Sub-branch, Baise Guangxi 533000) |
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| Abstract: | This paper uses Granger causality test and AM（1）- GARCH（1,1）model to analyze the linkage effects between the Shanghai interbank offered rate（Shibor）and Hong Kong yuan interbank rate（CNY Hibor）. The re-sults indicate that 30 days Shibor and CNY Hibor are mutual Granger causality;overnight,7 and 14 days Shibor isCNY Hibor Granger reason;the influence of onshore to offshore RMB market interest rate is stronger than the influence of offshore to onshore RMB market interest rate. |
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| Keywords: | On-shore Market Off-shore Market RMB Interest Rate |
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