人民币境内远期汇率、境外NDF汇率与即期汇率价格动态关联性的实证研究

发布时间：2018-04-17 13:27

本文选题：价格发现 + 协整理论　；参考：《江西财经大学》2014年硕士论文

【摘要】：价格发现功能是金融衍生品市场的重要功能,是衡量金融衍生品市场发展的标志。人民币即期外汇市场与远期外汇市场的相互影响程度能反映外汇市场的运行效率,即如果外汇市场具有有效性,那么其价格发现功能良好,反之则反是。由于香港人民币外汇衍生市场发展迅速且交易活跃,因此对人民币境内外汇市场具有一定的影响作用,其对人民币外汇市场的价格发现功能一直以来都是学术界、外汇市场参与者和汇率政策制定者研究的突出话题,对其进行研究意义重大。为了对人民币即期汇率、境内远期汇率以及境外人民币NDF(无本金交割远期汇率)三个市场间互动关及价格发现功能经对外汇市场有重大影响的事件发生后的变化进行分析,本文对人民币即期市场与境内外远期市场的研究进行了一定的总结,基于以往的研究,本文将数据的非平稳性与协整性考虑在内,运用基于ECM的长期和短期格兰杰因果检验,揭示了三个汇率市场之间的长期与短期影响关系。与此同时,基于EGARCH模型建立三个变量两两间的波动溢出模型,用于分析三个汇率时间序列数据两两间的波动溢出效应,从而揭示人民币外汇市场的价格发现功能的市场表现。本文创新性地分不同阶段分析NDF、境内远期市场对即期汇率的影响,通过格兰杰因果关系分析、协整分析、VAR模型的建立、波动溢出效应分析等分析人民币兑美元即期汇率与境外NDF市场、境内远期市场上期限分别为一个月,三个月,六个月和一年的远期交割价的信息传递和波动溢出效应。总之,实证结果表明,对外汇市场产生冲击的重大事件的发生会对人民币即期市场及远期市场的长期均衡关系、市场相关性、价格发现功能、Granger因果关系及两两间的相互波动溢出效应均产生实质性影响,同时,境外人民币NDF市场仍会对我国人民币汇率市场造成影响,因此,对于中国政府来说,应逐步建立完善的中国外汇市场,推动汇改的完成,使人民币外汇市场能有效防御国际金融市场的冲击,并逐步掌握人民币汇率的定价权。此外,可通过增强国际金融合作,放开对境内投资者进入人民币离岸市场的限制,建立境外离岸市场与境内人民币外汇市场之间的价格发现传导渠道以及推动人民币国际化的快速发展,拓宽世界范围内人民币离岸远期外汇市场交易的广度使人民币外汇市场得到长足发展。
[Abstract]:The price discovery function is an important function of the financial derivatives market, is a symbol of the development of financial derivatives market. The mutual influence of RMB spot market and the forward market can reflect the efficiency of foreign exchange market, if the foreign exchange market is effective, the price discovery function is good, and vice versa. Because Hongkong is RMB exchange the rapid development of derivatives market and trading activity, so it has some influence on the RMB foreign exchange market, the RMB exchange market price has always been the academic topic prominent researchers to develop the foreign exchange market participants and the exchange rate policy, its study is of great significance.
In order to the spot exchange rate of RMB, domestic forward exchange rate and RMB NDF (NDF exchange rate) between the three markets and the price discovery function of the interactive change has great impact on the foreign exchange market after the events of the analysis, this paper studies the RMB spot market and forward market both at home and abroad are summarized this paper, based on previous studies, the non stationarity and cointegration of data into account, the use of long-term and short-term causality test based on ECM Grainger, reveals the influence of long-term and short-term relationship between the three exchange rate market. At the same time, EGARCH model volatility spillover model of three variables and 22 on the basis of the analysis for three the exchange rate volatility spillover effect between the 22 time series data, thus revealing the RMB exchange market price discovery function of market performance. This paper innovatively divided Analysis of different stages of NDF, affect the forward market on the spot exchange rate, by Grainger causality analysis, cointegration analysis, VAR model, volatility spillover effect analysis of RMB against the U.S. dollar spot exchange rate and foreign domestic NDF market, the forward market period respectively for one month, three months, six months and a year long term delivery of information delivery and price volatility spillover effect.
In conclusion, the empirical results show that the occurrence of the RMB spot market and forward market long-term equilibrium relationship, major events have an impact on the foreign exchange market market correlation, price discovery function, have a substantial impact, both the mutual Granger causality and the volatility spillover effect between 22 and RMB NDF market will impact. The RMB exchange rate in China's market for China government, therefore, should gradually establish and improve the Chinese foreign exchange market, promote the reform of the RMB exchange market, which can effectively prevent the impact of the international financial market, and gradually master the pricing of the RMB exchange rate. In addition, it can be enhanced by international financial cooperation, open to domestic investors enter the offshore RMB market restrictions, established between overseas and domestic RMB offshore market foreign exchange market price discovery channel and promote The rapid development of RMB internationalization and broadening the breadth of the trading of RMB Offshore forward foreign exchange market in the world have made the RMB foreign exchange market a great development.

【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.6

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