【摘要】：我國人民幣匯率形成機制改革以來,波動性顯著放大,各經(jīng)濟主體運用人民幣遠期產(chǎn)品規(guī)避匯率風險的需求增加。文章運用協(xié)整檢驗、雙變量向量自回歸模型(B-VAR)和誤差修正模型(ECM)對交易比較活躍的1月期、3月期的人民幣遠期產(chǎn)品(NDF和FWD)和即期人民幣匯率之間的套期保值進行了實證分析。結(jié)果表明,經(jīng)濟危機前后,境內(nèi)遠期結(jié)售匯(FWD)套期保值績效均優(yōu)于離岸無本金交割遠期交易(NDF)。
[Abstract]:Since the reform of RMB exchange rate formation mechanism in China, the volatility has been significantly magnified, and the demand of various economic entities to use RMB forward products to avoid exchange rate risk has increased. In this paper, cointegration test, bivariate vector autoregression model (B-VAR) and error correction model (ECM) are used to deal with the January period. This paper makes an empirical analysis on the hedge between RMB forward products (NDF and FWD) and spot RMB exchange rate in March. The results show that the (FWD) hedge performance of domestic forward settlement and sale of foreign exchange before and after the economic crisis is better than that of offshore non-principal delivery forward transaction (NDF).
【作者單位】： 天津大學管理學院;
【分類號】：F224;F832.52

【參考文獻】

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1 劉京軍;曾令，

本文編號：2480143