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人民幣兩種離岸遠(yuǎn)期匯率對(duì)境內(nèi)即期匯率價(jià)格發(fā)現(xiàn)作用的實(shí)證研究

發(fā)布時(shí)間:2018-01-09 20:05

  本文關(guān)鍵詞:人民幣兩種離岸遠(yuǎn)期匯率對(duì)境內(nèi)即期匯率價(jià)格發(fā)現(xiàn)作用的實(shí)證研究 出處:《復(fù)旦大學(xué)》2014年碩士論文 論文類型:學(xué)位論文


  更多相關(guān)文章: 人民幣離岸非可交割遠(yuǎn)期匯率 香港人民幣離岸可交割遠(yuǎn)期匯率 即期匯率 價(jià)格發(fā)現(xiàn) VAR模型 Granger因果檢驗(yàn) VECM模型


【摘要】:近幾年來(lái),隨著我國(guó)經(jīng)濟(jì)的快速發(fā)展以及國(guó)際地位的不斷提升,人民幣的使用范圍不斷擴(kuò)大,國(guó)家正在有計(jì)劃的推進(jìn)人民幣的國(guó)際化。在中國(guó)匯率制度改革的進(jìn)程中,必然引發(fā)人民幣匯率的波動(dòng)幅度大大增加,這使得我國(guó)境內(nèi)外居民和企業(yè)面臨的匯率風(fēng)險(xiǎn)不斷增加。在人民幣不斷強(qiáng)大的同時(shí),人民幣遠(yuǎn)期匯率市場(chǎng)也取得了長(zhǎng)足的發(fā)展,為市場(chǎng)提供了很好的規(guī)避風(fēng)險(xiǎn)的辦法。目前,對(duì)人民幣進(jìn)行外匯交易的投資者主要集中在三個(gè)市場(chǎng)中:人民幣離岸非可交割遠(yuǎn)期(NDF)市場(chǎng)、香港人民幣離岸可交割遠(yuǎn)期(DF)市場(chǎng)以及人民幣在岸即期匯率市場(chǎng)。這三個(gè)市場(chǎng)共同形成了“一個(gè)國(guó)家、兩種制度、三條曲線”的格局。在國(guó)際金融市場(chǎng)上,遠(yuǎn)期外匯市場(chǎng)往往具有較強(qiáng)的價(jià)格發(fā)現(xiàn)功能和套期保值特性。其中,價(jià)格發(fā)現(xiàn)功能成為衡量其發(fā)展水平的一個(gè)重要標(biāo)志。研究人民幣的這三個(gè)市場(chǎng)間的價(jià)格發(fā)現(xiàn)功能,尤其是研究遠(yuǎn)期匯率市場(chǎng)對(duì)即期匯率市場(chǎng)的價(jià)格發(fā)現(xiàn)功能對(duì)我國(guó)人民幣遠(yuǎn)期市場(chǎng)的建設(shè)有重要的指導(dǎo)意義。本文在討論了相關(guān)價(jià)格發(fā)現(xiàn)功能的理論界定和相關(guān)文獻(xiàn)的基礎(chǔ)上,根據(jù)協(xié)整理論,對(duì)三個(gè)市場(chǎng)的數(shù)據(jù)先進(jìn)行了時(shí)間序列的平穩(wěn)性檢驗(yàn)、協(xié)整檢驗(yàn),然后建立了VAR模型和誤差修正模型。接著,在誤差修正模型的基礎(chǔ)上進(jìn)行格蘭杰因果分析和脈沖響應(yīng),以期考察市場(chǎng)之間的相互影響。本文得出的主要結(jié)論是:香港人民幣離岸可交割遠(yuǎn)期市場(chǎng)的價(jià)格發(fā)現(xiàn)功能在逐步增強(qiáng),正在逐步的與人民幣離岸非可交割遠(yuǎn)期市場(chǎng)共同成為境內(nèi)人民幣即期匯率的風(fēng)向標(biāo)。同時(shí),香港人民幣離岸市場(chǎng)與境內(nèi)即期市場(chǎng)之間的價(jià)格發(fā)現(xiàn)功能可以相互結(jié)識(shí),兩個(gè)市場(chǎng)之間的互動(dòng)性正在增強(qiáng)。而人民幣離岸非可交割遠(yuǎn)期市場(chǎng)一直保持著良好的價(jià)格發(fā)現(xiàn)功能。最后,本文還針對(duì)檢驗(yàn)結(jié)果提出了一些政策建議:加強(qiáng)境外人民幣資金池的流動(dòng)性;進(jìn)一步放松對(duì)境內(nèi)人民幣市場(chǎng)的管制;完善香港人民幣基準(zhǔn)利率形成機(jī)制等。
[Abstract]:In recent years, with the rapid development of China's economy and the continuous improvement of the international status, the use of RMB has been expanding. The country is promoting the internationalization of RMB in a planned way. In the course of the reform of China's exchange rate regime, the fluctuation of RMB exchange rate is bound to increase greatly. This makes the domestic and foreign residents and enterprises face increasing exchange rate risk. While the RMB is becoming stronger, the forward exchange rate market of RMB has also made great progress. It provides a good way to avoid risk for the market. At present, investors trading foreign exchange in RMB are concentrated in three markets: the offshore non-deliverable forward market. Hong Kong renminbi offshore deliverable forward (DFF) market and the onshore spot exchange rate market. These three markets form a "one country, two systems". In the international financial market, the forward foreign exchange market often has a strong price discovery function and hedging characteristics. The function of price discovery has become an important indicator to measure the level of its development. This paper studies the price discovery function among the three markets of RMB. In particular, the study of the price discovery function of forward exchange rate market to spot exchange rate market has important guiding significance for the construction of RMB forward market in China. This paper discusses the theoretical definition and relevant articles of the related price discovery function. On the basis of... According to cointegration theory, the data of three markets are tested by time series stability test, cointegration test, and then VAR model and error correction model are established. Granger causality analysis and impulse response are carried out on the basis of error correction model. The main conclusion of this paper is that the price discovery function of offshore deliverable forward market in Hong Kong is gradually enhanced. The offshore non-deliverable forward market is gradually becoming the weather vane of the spot exchange rate of RMB in China. At the same time. The price-discovery function between the offshore renminbi market in Hong Kong and the domestic spot market is known to each other. The interaction between the two markets is increasing, while the offshore non-deliverable forward market of the renminbi has maintained a good price-discovery function. Finally. This paper also puts forward some policy suggestions on the results of the test: strengthening the liquidity of the offshore RMB fund pool; Further deregulation of the domestic RMB market; Improve the Hong Kong RMB benchmark interest rate formation mechanism and so on.
【學(xué)位授予單位】:復(fù)旦大學(xué)
【學(xué)位級(jí)別】:碩士
【學(xué)位授予年份】:2014
【分類號(hào)】:F832.6

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