离岸人民币市场套息交易收益率的测度、影响因素及效应研究

This study lies in the intersection of international finance and asset pricing literature. We provide the first systematic study of returns to carry trades in the offshore RMB market. ..First, we begin with measuring returns to offshore RMB-targeted carry trades to see if carry trader can earn positive average returns in excess of the interest differential between RMB and relevant currencies. After testing the existence and signs of excess returns to carry trade strategy under UIP hypothesis in the offshore RMB market, we intend to examine the empirical properties of carry trade payoffs, and compare its returns with those of currency portfolios invested in other emerging markets, as well as returns obtained from other asset classes. Besides, based on the CIP hypothesis, we also examine quantitatively the changing of relative importance of RMB appreciation expectation and interest differential in driving forward curves in the CNH market...Second, we explore the question of whether these excess returns to carry trades in the offshore RMB market are driven by exposure to risk. We build our theoretical framework in the form of stochastic discount factor models, with both observable macroeconomic factors and latent factors that co-vary with returns to carry trades. In addition to the traditional factors used in the literature, we also examine other less traditional factors potentially useful in the offshore RMB market. Moreover, considering that the offshore RMB market is still limited not only in size but also in depth and breadth, we also introduce the foreign exchange market into monetary models to examine the role of liquidity effect in explaining the profitability of carry trades in the offshore RMB market. Based on the above theoretical frameworks, we can derive tractable empirical specifications to explore quantitatively the extent to which risk and liquidity measures can help explain the profitability of carry trades in the offshore RMB market. We conduct our empirical work from both the time-series and cross-sectional perspectives. Furthermore, we examine the question of whether information originated from country-specific or global shocks is more relevant to the variation of identified risk and liquidity measures. ..Finally, we investigate the implications of adding offshore RMB to a portfolio already invested in the international financial markets by carry traders. Exploiting the conditioning information of identified risk and liquidity measures, we use the parametric portfolio approach to solve a dynamic portfolio allocation problem across currencies. This exercise provide a natural setting to gauge the economic importance of time-varying expected excess returns to carry trades, in affecting the offshore RMB asset allocation of international investors, as well as the associated capital flows into and out of China. .

本课题对离岸人民币市场套息交易收益率进行存在性检验和测度，并从风险和流动性角度分析其影响因素，衡量其时变性对离岸市场人民币资产需求和资本流动带来的影响。具体而言，首先，本课题基于利率平价假说，对人民币升值预期和市场间利差在离岸人民币远期汇率决定中的相对重要性及其时变性进行分析。然后，从海外投资者对离岸人民币资产的需求角度出发，检验离岸人民币市场套息交易超额收益率的存在性和符号、测度其规模和组成，并将之与其他新兴市场套息交易超额收益率及其他资产的超额收益率进行比较分析。其次，基于风险和流动性，建立随机贴现因子形式资产定价模型的理论解释框架，导出实证模型设定或提出潜在解释变量，从时间和空间两个维度进行估计和检验，实证分析风险和流动性因素在套息交易收益率变动中的重要性。最后，在此基础上，分析套息交易收益率及其影响因素的变化，对投资者资产组合中的人民币资产配置以及国际资本流动带来的影响。

本项目从国际投资者的人民币资产需求的角度出发，对人民币套息交易超额收益进行存在性检验和测度，并从风险和流动性角度分析其影响因素，衡量其时变性对离岸市场人民币资产需求和资本流动带来的影响，以及对人民币汇率改革的政策含义。..首先，本项目研究显示，2011-2017年间，离岸人民币套息交易的累积超额收益率在新兴市场国家货币中居于首位，而且相较于其他货币回撤时间短幅度小，已成为国际投资者套息交易的主要投资货币之一。..其次，本项目基于跨国面板数据分析和动态预测分析，考察风险与流动性对套息交易收益与规模的影响。面板数据分析显示，除去息差因素，信用风险和风险偏好等指标都对套息交易的收益与规模具有显著影响。而且，无论在同一时点的目标货币选择和同一目标货币的头寸动态调整上，套息交易都更偏好于高流动性的目标货币。时间序列分析则显示，息差与汇差能够在样本内外显著预测人民币套息交易收益率。在岸市场的中间价管制使得离岸市场具有显著的可预测性与套息套汇空间。继续扩大人民币日波幅无助于实现人民币汇率灵活性。在人民币中间价形成机制改革之后，汇差对离岸人民币套息交易收益率的预测性开始出现显著下降，在岸市场则显著性上升。..最后，本项目基于动态资产组合最优权重的变化研究人民币套息交易对中国短期跨境资本流动的影响。首先，我们将美元人民币套息资产、美元无风险资产和美元风险资产作为基础资产构建国际投资组合，计算套息资产动态最优组合权重。然后，本文将最优权重的变化作为解释变量，按照间接法测算的中国短期资本净流入的变动率作为被解释变量，研究套息交易对中国短期资本流动变化的影响。研究结果显示，当汇率及利差等状态变量随时间发生变化时，套息交易资产组合的最优权重也会随之发生改变，并且能够显著地解释我国短期资本流动的变化。但是，套息交易对我国短期资本流动的影响存在着显著的非对称性；套息交易的资产配置也还并不是导致当前我国资本流动出现趋势性变化的根本原因。

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