人民币两种离岸远期汇率对境内即期汇率价格发现作用的实证研究

发布时间：2018-01-09 20:05

本文关键词：人民币两种离岸远期汇率对境内即期汇率价格发现作用的实证研究　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：近几年来,随着我国经济的快速发展以及国际地位的不断提升,人民币的使用范围不断扩大,国家正在有计划的推进人民币的国际化。在中国汇率制度改革的进程中,必然引发人民币汇率的波动幅度大大增加,这使得我国境内外居民和企业面临的汇率风险不断增加。在人民币不断强大的同时,人民币远期汇率市场也取得了长足的发展,为市场提供了很好的规避风险的办法。目前,对人民币进行外汇交易的投资者主要集中在三个市场中：人民币离岸非可交割远期(NDF)市场、香港人民币离岸可交割远期(DF)市场以及人民币在岸即期汇率市场。这三个市场共同形成了“一个国家、两种制度、三条曲线”的格局。在国际金融市场上,远期外汇市场往往具有较强的价格发现功能和套期保值特性。其中,价格发现功能成为衡量其发展水平的一个重要标志。研究人民币的这三个市场间的价格发现功能,尤其是研究远期汇率市场对即期汇率市场的价格发现功能对我国人民币远期市场的建设有重要的指导意义。本文在讨论了相关价格发现功能的理论界定和相关文献的基础上,根据协整理论,对三个市场的数据先进行了时间序列的平稳性检验、协整检验,然后建立了VAR模型和误差修正模型。接着,在误差修正模型的基础上进行格兰杰因果分析和脉冲响应,以期考察市场之间的相互影响。本文得出的主要结论是：香港人民币离岸可交割远期市场的价格发现功能在逐步增强,正在逐步的与人民币离岸非可交割远期市场共同成为境内人民币即期汇率的风向标。同时,香港人民币离岸市场与境内即期市场之间的价格发现功能可以相互结识,两个市场之间的互动性正在增强。而人民币离岸非可交割远期市场一直保持着良好的价格发现功能。最后,本文还针对检验结果提出了一些政策建议：加强境外人民币资金池的流动性；进一步放松对境内人民币市场的管制；完善香港人民币基准利率形成机制等。
[Abstract]:In recent years, with the rapid development of China's economy and the continuous improvement of the international status, the use of RMB has been expanding. The country is promoting the internationalization of RMB in a planned way. In the course of the reform of China's exchange rate regime, the fluctuation of RMB exchange rate is bound to increase greatly. This makes the domestic and foreign residents and enterprises face increasing exchange rate risk. While the RMB is becoming stronger, the forward exchange rate market of RMB has also made great progress. It provides a good way to avoid risk for the market. At present, investors trading foreign exchange in RMB are concentrated in three markets: the offshore non-deliverable forward market. Hong Kong renminbi offshore deliverable forward (DFF) market and the onshore spot exchange rate market. These three markets form a "one country, two systems". In the international financial market, the forward foreign exchange market often has a strong price discovery function and hedging characteristics. The function of price discovery has become an important indicator to measure the level of its development. This paper studies the price discovery function among the three markets of RMB. In particular, the study of the price discovery function of forward exchange rate market to spot exchange rate market has important guiding significance for the construction of RMB forward market in China. This paper discusses the theoretical definition and relevant articles of the related price discovery function. On the basis of... According to cointegration theory, the data of three markets are tested by time series stability test, cointegration test, and then VAR model and error correction model are established. Granger causality analysis and impulse response are carried out on the basis of error correction model. The main conclusion of this paper is that the price discovery function of offshore deliverable forward market in Hong Kong is gradually enhanced. The offshore non-deliverable forward market is gradually becoming the weather vane of the spot exchange rate of RMB in China. At the same time. The price-discovery function between the offshore renminbi market in Hong Kong and the domestic spot market is known to each other. The interaction between the two markets is increasing, while the offshore non-deliverable forward market of the renminbi has maintained a good price-discovery function. Finally. This paper also puts forward some policy suggestions on the results of the test: strengthening the liquidity of the offshore RMB fund pool; Further deregulation of the domestic RMB market; Improve the Hong Kong RMB benchmark interest rate formation mechanism and so on.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.6

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