人民币与新台币汇兑定价机制研究

发布时间：2018-05-04 00:17

本文选题：购买力平价 + 利率平价　；参考：《管理评论》2012年02期

【摘要】：随着海峡两岸"三通"的正式启动以及两岸金融监管谅解备忘录(MOU)的生效,两岸的经贸交流日趋紧密,因此人民币与新台币之间尽快实现双向直接兑换就显得更加迫切。本文采用直接定价和间接定价两种方法对人民币与新台币的汇率做出定价,直接定价法是根据购买力平价理论和货币模型,通过多元线性回归得到两地汇率与我国大陆和台湾地区产出水平、货币供应量和利率的关系。而间接定价法是根据利率平价理论,通过对人民币兑美元的NDF汇率、远期汇率和即期汇率以及新台币兑美元的NDF汇率和即期汇率分别做单位根检验,协整检验和格兰杰因果关系检验后,发现人民币与新台币各自的汇率之间存在显著的相关关系,因此我们利用NDF汇率替代利率平价公式中的远期汇率,计算出人民币与新台币的即期汇率,通过比较发现:间接定价法更适合于人民币与新台币汇率的决定。
[Abstract]:With the official launch of the "three links" between the two sides of the Taiwan Strait and the entry into force of the MOU (Memorandum of understanding on Financial Supervision between the two sides), cross-strait economic and trade exchanges are becoming increasingly close, so it is even more urgent to realize two-way direct convertibility between the RMB and the NT dollar as soon as possible. This paper uses direct pricing and indirect pricing to price the exchange rate between RMB and NT. The direct pricing is based on purchasing power parity theory and monetary model. By multiple linear regression, the relationship between the exchange rate and the output level, money supply and interest rate in mainland China and Taiwan is obtained. The indirect pricing method is based on the theory of interest rate parity, through the unit root test of the NDF exchange rate, forward exchange rate and spot exchange rate of RMB against US dollar, and the NDF rate and spot exchange rate of the New Taiwan dollar against US dollar, respectively. After cointegration test and Granger causality test, we find that there is a significant correlation between the exchange rate of RMB and Taiwan dollar, so we use the NDF exchange rate to replace the forward exchange rate in the interest rate parity formula. The spot exchange rate of RMB and NT is calculated, and the indirect pricing method is found to be more suitable for determining the exchange rate between RMB and NT.
【作者单位】：福州大学管理学院;
【基金】：国家自然科学基金项目(71073023) 福建省社科规划重大项目(2011Z010)
【分类号】：F224;F832.6

【相似文献】