境内外人民币远期市场的信息传递与定价的影响分析

发布时间：2018-06-04 01:11

本文选题：境内外人民币 + 远期市场　；参考：《复旦大学》2014年硕士论文

【摘要】：在我国金融市场飞速发展,资本流动日趋活跃的今天,人民币国际化是未来发展的必然趋势。在汇率市场化发展进程中,研究离岸人民币市场在不同的发展阶段下,境内外人民币远期市场间的信息传递以及境内远期市场价格决定机制的问题,不仅对于分析人民币境内外汇率市场一体化有着重要的意义,而且对监管当局制定货币政策、完善汇率机制也有着实际作用。本文正是在当前香港离岸人民币远期市场蓬勃发展的背景下,重点研究了境外人民币远期市场的结构变化、境内外人民币远期市场的信息传递以及境外市场对境内人民币远期汇率定价的影响这三方面的问题。在研究方法上,本文采取了理论与实证将结合的方式,首先针对研究问题所涉及的金融市场关联效应和汇率定价理论进行了阐述,并对前人在该领域的文献进行归纳总结：其次对境内外人民币远期市场发展历程及现状进行回顾和分析,并在此基础上深度分析了境外人民币远期市场的结构变化；再次,基于境外人民币远期市场的变化,通过对投资者行为模式的定性分析和运用协整检验、构建VAR模型、格兰杰因果检验和脉冲响应的实证方式,对境内外人民币远期市场的信息传递方式和方向进行分析研究。最后,以香港离岸人民币远期市场产生为节点,创新性地采取分段时序建模的方法,通过单位根检验、协整检验以及构建误差修整模型的方式,来论证香港离岸人民币远期市场对境内人民币远期市场汇率定价的影响,以数量化实证研究的方式提高本文研究的科学性。根据研究发现：第一、境外人民币远期市场在香港离岸人民币远期市场产生后,结构上出现了全新的变化。因资产可生息、交易更灵活、交割无法律风险等因素,新兴的香港离岸远期市场已逐步取代传统的人民币无本金交割远期市场,成为境外人民币远期市场的主要交易市场。第二、2008年到2013年期间,在境内外人民币远期市场的信息传达上,新生的香港离岸远期市场和境内人民币远期市场呈现出单向引导关系,境内人民币远期市场处于信息中心。第三、创新性地发现,2008年以来,随着汇率利率市场的各项改革措施的推进,利率平价的定价机制在人民币远期市场中的作用越来越显著,在香港离岸市场诞生之后,境内人民币远期汇率的主要影响因素依然是利率平价。可见,我国境内人民币远期市场已经基本实现了从预期定价机制向利率平价机制转变。
[Abstract]:With the rapid development of China's financial market and the increasingly active capital flow, RMB internationalization is an inevitable trend in the future. In the course of the development of exchange rate marketization, this paper studies the transmission of information between the domestic and foreign renminbi forward markets and the price determination mechanism of the domestic forward market under the different stages of development of the offshore RMB market. It is of great significance not only to analyze the integration of the exchange rate market inside and outside the RMB, but also to make monetary policy and perfect the exchange rate mechanism. Under the background of the booming offshore renminbi forward market in Hong Kong, this paper focuses on the structural changes of the offshore renminbi forward market. The information transmission of domestic and foreign RMB forward market and the influence of overseas market on the domestic RMB forward rate pricing are discussed in this paper. In terms of research methods, this paper adopts the combination of theory and empirical approach. Firstly, this paper expounds the financial market correlation effect and exchange rate pricing theory involved in the research. And summarized the previous literature in this field: secondly, the development of the domestic and foreign renminbi forward market and the status quo are reviewed and analyzed, and on this basis, in-depth analysis of the overseas renminbi forward market structure changes; again, Based on the change of overseas RMB forward market, through qualitative analysis and cointegration test of investor behavior model, this paper constructs VAR model, Granger causality test and impulse response. This paper analyzes and studies the way and direction of information transmission in the domestic and foreign RMB forward market. Finally, taking the offshore renminbi forward market in Hong Kong as the node, the paper innovatively adopts the method of piecewise time series modeling, through unit root test, cointegration test and the way of constructing error dressing model. To demonstrate the impact of offshore renminbi forward market in Hong Kong on the domestic RMB forward market exchange rate pricing, and to improve the scientific nature of this study by quantitative empirical research. According to the findings: first, the offshore forward market in Hong Kong offshore renminbi forward market, the structure of a new change. Due to the factors such as interest bearing, more flexible trading and no legal risk for delivery, the emerging offshore forward market in Hong Kong has gradually replaced the traditional renminbi non-deliverable forward market and become the main trading market in the offshore renminbi forward market. Second, between 2008 and 2013, the emerging offshore forward market in Hong Kong and the domestic renminbi forward market showed a unidirectional guiding relationship in the transmission of information in the domestic and foreign renminbi forward markets, and the domestic renminbi forward market was at the information center. Third, innovatively found that since 2008, with the promotion of various reform measures in the exchange rate market, the role of the interest rate parity pricing mechanism in the renminbi forward market has become more and more significant, and after the emergence of the offshore market in Hong Kong, The main influence factor of domestic RMB forward exchange rate remains interest rate parity. Therefore, the RMB forward market in China has basically realized the transformation from the expected pricing mechanism to the interest rate parity mechanism.
【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

【参考文献】