论人民币远期市场定价与博弈

发布时间：2018-04-26 15:56

本文选题：人民币远期汇率 + 2010年汇改　；参考：《华东师范大学》2014年硕士论文

【摘要】：经过2005年及2010年两次汇改,人民币汇率的弹性大大增强,但由于人民币中间价所反映的价格较难真实反映市场的供求关系,人民币即期汇率依然存在一定的单边预期。远期汇率是最基础的外汇衍生产品,标的物清晰,期限和价格可以根据现金流的需求协商确定,并能够实现即期市场不能实现的规避汇率风险、价格发现功能,也是各类衍生产品的定价基础。因此,选择远期汇率作为研究对象具有很强的现实意义。我国目前的远期结售汇制度依然基于贸易实需原则,采用到期交割本金的方式。除了境内的远期结售汇市场,在香港、新加坡还有离岸人民币无本金交割NDF市场,离岸市场交头活跃,其价格发现功能对于境内人民币远期汇率、人民币即期汇率都有较大影响。本文在深入分析境内远期市场的发展及离岸NDF市场的成功经验的基础上,选用较为创新的远期升贴水率作为数据基础,通过格兰杰因果检验、脉冲响应函数、误差修正模型检验2010年6月汇改前后人民币境内外市场远期定价权的博弈,得出除了1月期远期合约以外,其余3月、6月、12月合约在2010年汇改后,境内远期市场的定价能力显著提升,并能够通过信息优势影响离岸NDF市场,人民币一系列的改革措施对于人民币远期市场的发展是有积极意义的。通过对比境内外人民币远期市场的发展经验及实证检验的结果,笔者认为,我国可以有序推进利率市场化,适时走出去、引进来,同时也需要练好内功。2013年上海自由贸易试验区正式挂牌,其后自贸区扩大服务业开放措施、央行30条对自贸区的发展指明了方向。人民币远期市场改革将能够通过自贸区先行试点,逐步推广。
[Abstract]:After the two exchange rate reforms in 2005 and 2010, the flexibility of RMB exchange rate is greatly enhanced, but because the price reflected by the intermediate price of RMB is difficult to truly reflect the relationship between supply and demand in the market, there is still a certain unilateral expectation of the spot exchange rate of RMB. The forward exchange rate is the most basic foreign exchange derivative product, the subject matter is clear, the term and price can be determined through negotiation according to the demand of cash flow, and can realize the function of avoiding exchange rate risk and price discovery which can not be realized in spot market. It is also the pricing basis of all kinds of derivatives. Therefore, the choice of forward exchange rate as the object of study has a strong practical significance. The present forward settlement and sale of foreign exchange system in China is still based on the principle of real trade demand and adopts the method of delivery of principal due. In addition to the domestic forward settlement and sale market, in Hong Kong and Singapore there is an offshore renminbi non-deliverable NDF market, and the offshore market is active. Its price discovery function is for the domestic renminbi forward exchange rate. The spot exchange rate of RMB has great influence. Based on the in-depth analysis of the development of domestic forward market and the successful experience of offshore NDF market, this paper selects the more innovative forward rising discount rate as the data basis, through Granger causality test, pulse response function, The error correction model tests the game of the forward pricing power in the domestic and foreign markets before and after the exchange rate reform in June 2010, and draws the conclusion that the other contracts in March, June and December are after the exchange rate reform in 2010, except for the one-month forward contracts. The pricing power of domestic forward market has been improved significantly, and the offshore NDF market can be influenced by information superiority. A series of reform measures of RMB are of positive significance to the development of RMB forward market. By comparing the development experience of domestic and foreign RMB forward markets and the results of empirical tests, the author believes that China can promote the marketization of interest rates in an orderly manner, go out at the right time, and bring in. In 2013, the Shanghai Free Trade Zone was officially listed, and since then the Free Trade Zone has expanded its service sector opening measures. The central bank has set the direction for the development of the free trade zone. The forward market reform of RMB will be able to be promoted step by step through the pilot of the Free Trade Zone.
【学位授予单位】：华东师范大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.6

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