利率平价理论在我国的适用性研究
发布时间：2018-12-06 10:35
【摘要】：随着世界经济一体化程度的加深,世界各国之间的经济联系越来越密切,国际贸易、对外直接投资、对外间接投资、银行对外信贷等活动越来越频繁,汇率成为各涉及对外经济活动的企业和投资者必须关注的焦点。由于中国人民银行对人民币汇率的波动区间的进一步放宽,企业和投资者所面临的外汇风险也越来越大,为了规避和管理外汇风险、防止不必要的损失,企业和投资者必须重视汇率预测和市场判断。尽管利率平价理论有许多缺陷,但该理论一直是解释汇率行为的、最常用的理论基础。那么利率平价理论在我国是否适用?人民币汇率定价是否合理?我国外汇市场是否有效?这是本文的写作目的。本文通过对中国货币市场和外汇市场的发展现状的了解,采用市场化的Shibor、人民币对美元汇率和美元Libor为研究对象来研究利率平价理论在我国的适用性。数据样本为交易活跃的一周、一个月和三个月三种期限自2009年3月至2012年底的数据,实证采用的主要方法为静态和动态DCC-MGARCH模型。经过实证检验及对比发现,虽然动态DCC-MGARCH模型的实证效果较静态实证效果较好,但两种实证检验得出的结论相同：利率平价理论在中国不适用,人民币汇率定价存在不足,我国外汇市场不是有效市场。由实证结论及对我国货币市场和外汇市场发展现状的了解,发现利率平价理论在我国不适用的主要原因是我国人民币汇率还未市场化及我国外汇市场发展不完善。对此提出要使人民币汇率定价更合理,我国应稳步推进市场化改革并加强外汇市场基础设施建设,为人民币汇率定价提供更透明和完善的市场环境。
[Abstract]:With the deepening of the degree of economic integration in the world, the economic ties between countries in the world are becoming more and more close. Activities such as international trade, foreign direct investment, foreign indirect investment, and bank external credit are becoming more and more frequent. Exchange rate has become the focus of enterprises and investors involved in foreign economic activities. As the people's Bank of China further relaxes the range of fluctuations in the RMB exchange rate, enterprises and investors are facing increasingly greater foreign exchange risks. In order to avoid and manage foreign exchange risks and prevent unnecessary losses, Companies and investors must attach importance to exchange rate forecasting and market judgment. Although the theory of interest rate parity has many defects, it has always been the most commonly used theoretical basis for explaining exchange rate behavior. So is the theory of interest rate parity applicable in China? Is the pricing of RMB exchange rate reasonable? Is China's foreign exchange market effective? This is the purpose of this paper. This paper studies the applicability of interest rate parity theory in China through the understanding of the current situation of the development of China's money market and foreign exchange market, and the use of market-oriented Shibor, RMB / US dollar exchange rate and US dollar Libor as research objects. The data samples are the data from March 2009 to the end of 2012 with three periods of active trading week, one month and three months. The main empirical methods are static and dynamic DCC-MGARCH model. Through the empirical test and comparison, it is found that although the dynamic DCC-MGARCH model has better empirical effect than static empirical effect, the two empirical tests have the same conclusion: the theory of interest rate parity is not applicable in China, and the RMB exchange rate pricing is insufficient. China's foreign exchange market is not an efficient market. Based on the empirical conclusions and the understanding of the current situation of the development of China's money market and foreign exchange market, it is found that the main reasons why the theory of interest rate parity is not applicable in China are that the RMB exchange rate in China has not yet been marketized and the development of our foreign exchange market is not perfect. In order to make RMB exchange rate pricing more reasonable, China should steadily promote market-oriented reform and strengthen the infrastructure construction of foreign exchange market so as to provide a more transparent and perfect market environment for RMB exchange rate pricing.
【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.6
[Abstract]:With the deepening of the degree of economic integration in the world, the economic ties between countries in the world are becoming more and more close. Activities such as international trade, foreign direct investment, foreign indirect investment, and bank external credit are becoming more and more frequent. Exchange rate has become the focus of enterprises and investors involved in foreign economic activities. As the people's Bank of China further relaxes the range of fluctuations in the RMB exchange rate, enterprises and investors are facing increasingly greater foreign exchange risks. In order to avoid and manage foreign exchange risks and prevent unnecessary losses, Companies and investors must attach importance to exchange rate forecasting and market judgment. Although the theory of interest rate parity has many defects, it has always been the most commonly used theoretical basis for explaining exchange rate behavior. So is the theory of interest rate parity applicable in China? Is the pricing of RMB exchange rate reasonable? Is China's foreign exchange market effective? This is the purpose of this paper. This paper studies the applicability of interest rate parity theory in China through the understanding of the current situation of the development of China's money market and foreign exchange market, and the use of market-oriented Shibor, RMB / US dollar exchange rate and US dollar Libor as research objects. The data samples are the data from March 2009 to the end of 2012 with three periods of active trading week, one month and three months. The main empirical methods are static and dynamic DCC-MGARCH model. Through the empirical test and comparison, it is found that although the dynamic DCC-MGARCH model has better empirical effect than static empirical effect, the two empirical tests have the same conclusion: the theory of interest rate parity is not applicable in China, and the RMB exchange rate pricing is insufficient. China's foreign exchange market is not an efficient market. Based on the empirical conclusions and the understanding of the current situation of the development of China's money market and foreign exchange market, it is found that the main reasons why the theory of interest rate parity is not applicable in China are that the RMB exchange rate in China has not yet been marketized and the development of our foreign exchange market is not perfect. In order to make RMB exchange rate pricing more reasonable, China should steadily promote market-oriented reform and strengthen the infrastructure construction of foreign exchange market so as to provide a more transparent and perfect market environment for RMB exchange rate pricing.
【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.6
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