人民币远期市场套期保值绩效的实证研究
发布时间：2019-05-18 16:04
【摘要】：我国人民币汇率形成机制改革以来,波动性显著放大,各经济主体运用人民币远期产品规避汇率风险的需求增加。文章运用协整检验、双变量向量自回归模型(B-VAR)和误差修正模型(ECM)对交易比较活跃的1月期、3月期的人民币远期产品(NDF和FWD)和即期人民币汇率之间的套期保值进行了实证分析。结果表明,经济危机前后,境内远期结售汇(FWD)套期保值绩效均优于离岸无本金交割远期交易(NDF)。
[Abstract]:Since the reform of RMB exchange rate formation mechanism in China, the volatility has been significantly magnified, and the demand of various economic entities to use RMB forward products to avoid exchange rate risk has increased. In this paper, cointegration test, bivariate vector autoregression model (B-VAR) and error correction model (ECM) are used to deal with the January period. This paper makes an empirical analysis on the hedge between RMB forward products (NDF and FWD) and spot RMB exchange rate in March. The results show that the (FWD) hedge performance of domestic forward settlement and sale of foreign exchange before and after the economic crisis is better than that of offshore non-principal delivery forward transaction (NDF).
【作者单位】： 天津大学管理学院;
【分类号】：F224;F832.52
[Abstract]:Since the reform of RMB exchange rate formation mechanism in China, the volatility has been significantly magnified, and the demand of various economic entities to use RMB forward products to avoid exchange rate risk has increased. In this paper, cointegration test, bivariate vector autoregression model (B-VAR) and error correction model (ECM) are used to deal with the January period. This paper makes an empirical analysis on the hedge between RMB forward products (NDF and FWD) and spot RMB exchange rate in March. The results show that the (FWD) hedge performance of domestic forward settlement and sale of foreign exchange before and after the economic crisis is better than that of offshore non-principal delivery forward transaction (NDF).
【作者单位】： 天津大学管理学院;
【分类号】：F224;F832.52
【参考文献】
相关期刊论文 前2条
1 刘京军;曾令，
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