人民币境内外远期与境内即期汇率的互动关系研究

发布时间：2018-05-25 15:35

本文选题：人民币定价权 + 价格发现　；参考：《复旦大学》2013年硕士论文

【摘要】：2010年央行启动二次汇改以来,人民币外汇衍生品市场的发展也异常迅速。境内人民币期权交易的启动,香港CNH远期、掉期、期货纷至沓来,CME也于今年2月开始重启离岸人民币期货交易。这些远期产品的功能之一是价格发现,之前有很多学者围绕这一功能对NDF和境内即远期做过比较和分析认为NDF在对境内即期汇率的价格发现上比境内远期更有引导作用。2010年底香港CNH远期市场诞生以后,其迅猛的发展势头已经超过了NDF,且伴随着二次汇改境内远期的交易也逐渐增大,客观环境发生变化以后,三个市场间的引导关系及信息传递是否发生变化是本文研究的重点。本文对境内远期、NDF、CNH远期和境内即期市场分别建立VAR模型,然后进行格兰杰因果关系检验、协整检验、脉冲响应分析,得出结论：1年期NDF和CNH远期都对境内即期汇率有引导关系,1年期NDF对即期汇率扰动响应明显。而即期汇率对1年期境内远期和3个月远期有引导关系。这个结论充分揭示了在价格发现的引导关系上,香港离岸市场是处于主导地位,NDF市场依旧是引导的主导者,新增的CNH远期也已经对境内即期有很强的引导关系。而境内远期由于汇率形成机制问题,仍处于被引导状态。在信息传递上,本文对各远期和即期分别建立VAR-BEKK-GARCH模型进行报酬溢出和波动溢出分析,结论是在报酬溢出上,NDF和CNH远期对于境内即期有单向的报酬溢出。而在波动溢出上,则是即期市场与1年期NDF和1年期境内远期双向溢出,而即期市场对1年期CNH远期和3个月期境内远期都有单向的波动溢出。这说明在信息传递上,境内即期市场处于信息中心地位,各个市场接受境内即期市场的信息影响。尽管境内即期市场处于信息中心地位,但境外远期市场在价格发现上的引导作用已初步显现。除NDF之外,CNH远期的发展也给人民币定价权增加了新的不确定性。因此本文建议境内需要尽快推出在岸NDF并继续深化现有远期市场。
[Abstract]:Since the central bank launched the second exchange rate reform in 2010, the renminbi foreign exchange derivatives market has also developed very rapidly. The launch of options trading in the Chinese currency, the Hong Kong CNH forward, swaps, futures in a flood of CNH in February this year began to restart offshore renminbi futures trading. One of the functions of these forward products is price discovery, Many previous scholars have compared and analyzed NDF and domestic forward around this function and concluded that NDF has more guiding role than domestic forward in finding the price of domestic spot exchange rate. After the Hong Kong CNH forward market came into being at the end of 2010, Its rapid development momentum has exceeded NDFs, and with the secondary exchange rate reform of the domestic forward transactions also gradually increased, after the objective environment changes, the three markets between the guiding relationship and information transmission change is the focus of this paper. In this paper, VAR models are established for domestic forward and spot markets respectively, and then Granger causality test, cointegration test, impulse response analysis are carried out. It is concluded that both 1-year NDF and CNH have a guiding relationship to the spot exchange rate in China, and 1-year NDF has obvious response to the spot exchange rate disturbance. The spot exchange rate for 1-year forward and 3-month forward has a guiding relationship. This conclusion fully reveals that the offshore market in Hong Kong is still the leading leader in the market of price discovery, and the new CNH forward also has a strong guiding relationship. And domestic forward because of exchange rate formation mechanism problems, is still in the state of guidance. In the aspect of information transmission, this paper establishes VAR-BEKK-GARCH models to analyze the reward spillover and volatility spillover respectively. The conclusion is that there is a one-way reward spillover between NDF and CNH on the reward spillover. On the other hand, the volatility spillover is between spot market and 1-year NDF and 1-year domestic forward, while spot market has one-way volatility spillover on 1-year CNH forward and 3-month domestic forward. This shows that in the information transmission, the domestic spot market is in the information center position, each market accepts the information influence of the domestic spot market. Although the domestic spot market is in the information center position, the overseas forward market has shown its guiding role in price discovery. Besides NDF, the development of CNH forward also adds new uncertainty to RMB pricing power. Therefore, this paper suggests that China should launch onshore NDF as soon as possible and continue to deepen the existing forward market.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.6

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