中国银行间外汇市场远期汇率信息含量与定价偏差研究

发布时间：2018-04-28 06:37

本文选题：远期汇率 + 即期汇率　；参考：《世界经济》2017年04期

【摘要】：本文就2010-2016年美元、欧元、日元、港币、英镑、澳元和加元对人民币7种远期汇率的信息含量和定价偏差进行研究,从多边汇率角度挖掘人民币定价机制的深层次问题。基于构建的三角汇率模型研究结果显示:除港币外,其他5种非美元货币远期汇率具有的信息含量有限,均受美元远期汇率的影响;美元远期汇率偏离市场预期的状态会传导至非美元远期汇率,导致后者同样偏离市场预期;这些远期汇率与相应的即期汇率之间也不存在直接的价格引导关系,价格发现能力有限。基于远期汇率与抛补利率平价隐含价格和预期未来即期汇率之间的回归分析,本文发现:在对美元实行兑换限制时,必然导致对其他货币同样采取兑换限制;7种货币远期汇率均存在显著的CIP隐含偏离,抛补利率平价与非抛补利率平价在中国外汇市场基本无法成立。
[Abstract]:In this paper, the information content and pricing bias of the seven forward exchange rates of RMB from 2010-2016 to US dollar, euro, yen, Hong Kong dollar, sterling, Australian dollar and Canadian dollar are studied, and the deep problems of RMB pricing mechanism are explored from the perspective of multilateral exchange rate. The results of the study based on the triangular exchange rate model show that the information content of the other five non-US dollar currencies is limited except Hong Kong dollar, and all of them are affected by the US dollar forward exchange rate. The deviation of US dollar forward rates from market expectations can be transmitted to non-dollar forward rates, resulting in the latter also deviating from market expectations; there is also no direct price-guiding relationship between these forward rates and the corresponding spot rates. Price discovery capacity is limited. Based on the regression analysis between the forward exchange rate and the implied price of the surcharge interest rate parity and the expected future spot exchange rate, this paper finds that when the convertibility restrictions are imposed on the US dollar, It is inevitable that there is a significant deviation of CIP in the forward exchange rate of all the seven currencies, and the complementary interest rate parity and the non-subsidy interest rate parity cannot be established in China's foreign exchange market.
【作者单位】：北京航空航天大学经济管理学院;
【基金】：国家自然科学基金项目(71303016)和(71671008)的资助
【分类号】：F832.6

【相似文献】