我国人民币远期汇率与即期汇率的关系研究

发布时间：2018-04-22 18:49

本文选题：汇率风险 + 即期汇率　；参考：《南京财经大学》2012年硕士论文

【摘要】：近些年来，我国人民币与外汇之间的交易相当活跃，与此同时人民币与美元、欧元、日元间的汇率也存在着较大的变化，可以看出汇率风险在我国的存在性是不容置疑的，而远期汇率是我国规避外汇风险使用最多的衍生品工具，利率平价理论作为使用最多的定价理论，在我国的适用性怎么样正是本文研究的重点，即本文是基于利率平价理论分析我国即期汇率与远期汇率之间的关系。本文的覆盖范围比较广，对美元、欧元和日元对人民币的远期与即期汇率的数据进行了实证分析，实证部分是从两个理论基础出发的，一个是汇率本身的变化角度，一个是汇率百分比变化角度，实证主要是针对数据做了平稳性检验，协整关系检验，并对模型进行了回归，得出表达式，，最后对实证的结果进行初步分析。从最后的分析可以看出，我国远期汇率市场之所以还没有完全达到避险作用，核心问题是在于我国的资本市场未开放，利率市场化程度很低。针对远期汇率市场的问题，我国应该不断推进人民币汇率形成机制，加快利率市场化改革步伐，解决岸上金融与离岸金融的分离问题，增加市场的参与性，活跃远期汇率市场。
[Abstract]:In recent years , the exchange rate between RMB and foreign exchange is quite active , at the same time , the exchange rate between RMB and USD , Euro and Japanese yen has changed greatly . It can be seen that the existence of exchange rate risk in our country is beyond doubt , and the forward exchange rate is the most derivative instrument to avoid the risk of foreign exchange .

This paper makes an empirical analysis on the data of the forward and spot exchange rates of RMB , Euro and Japanese yen to RMB . The empirical part is based on two theories , one is the change angle of exchange rate itself , and the empirical result is the change angle of exchange rate . The core problem is that the capital market of China is not open and the interest rate is low . In view of the problem of forward exchange rate market , our country should keep pace with the reform of RMB exchange rate , speed up the reform of interest rate marketization reform , increase the market participation and active forward exchange rate market .

【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.52;F224

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