本文關(guān)鍵詞：人民幣兩種離岸遠期匯率對境內(nèi)即期匯率價格發(fā)現(xiàn)作用的實證研究　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期匯率 香港人民幣離岸可交割遠期匯率 即期匯率 價格發(fā)現(xiàn) VAR模型 Granger因果檢驗 VECM模型

【摘要】：近幾年來,隨著我國經(jīng)濟的快速發(fā)展以及國際地位的不斷提升,人民幣的使用范圍不斷擴大,國家正在有計劃的推進人民幣的國際化。在中國匯率制度改革的進程中,必然引發(fā)人民幣匯率的波動幅度大大增加,這使得我國境內(nèi)外居民和企業(yè)面臨的匯率風(fēng)險不斷增加。在人民幣不斷強大的同時,人民幣遠期匯率市場也取得了長足的發(fā)展,為市場提供了很好的規(guī)避風(fēng)險的辦法。目前,對人民幣進行外匯交易的投資者主要集中在三個市場中：人民幣離岸非可交割遠期(NDF)市場、香港人民幣離岸可交割遠期(DF)市場以及人民幣在岸即期匯率市場。這三個市場共同形成了“一個國家、兩種制度、三條曲線”的格局。在國際金融市場上,遠期外匯市場往往具有較強的價格發(fā)現(xiàn)功能和套期保值特性。其中,價格發(fā)現(xiàn)功能成為衡量其發(fā)展水平的一個重要標志。研究人民幣的這三個市場間的價格發(fā)現(xiàn)功能,尤其是研究遠期匯率市場對即期匯率市場的價格發(fā)現(xiàn)功能對我國人民幣遠期市場的建設(shè)有重要的指導(dǎo)意義。本文在討論了相關(guān)價格發(fā)現(xiàn)功能的理論界定和相關(guān)文獻的基礎(chǔ)上,根據(jù)協(xié)整理論,對三個市場的數(shù)據(jù)先進行了時間序列的平穩(wěn)性檢驗、協(xié)整檢驗,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)上進行格蘭杰因果分析和脈沖響應(yīng),以期考察市場之間的相互影響。本文得出的主要結(jié)論是：香港人民幣離岸可交割遠期市場的價格發(fā)現(xiàn)功能在逐步增強,正在逐步的與人民幣離岸非可交割遠期市場共同成為境內(nèi)人民幣即期匯率的風(fēng)向標。同時,香港人民幣離岸市場與境內(nèi)即期市場之間的價格發(fā)現(xiàn)功能可以相互結(jié)識,兩個市場之間的互動性正在增強。而人民幣離岸非可交割遠期市場一直保持著良好的價格發(fā)現(xiàn)功能。最后,本文還針對檢驗結(jié)果提出了一些政策建議：加強境外人民幣資金池的流動性；進一步放松對境內(nèi)人民幣市場的管制；完善香港人民幣基準利率形成機制等。
[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)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.6

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