本文選題：人民幣遠(yuǎn)期匯率 + 2010年匯改��； 參考：《華東師范大學(xué)》2014年碩士論文

【摘要】：經(jīng)過(guò)2005年及2010年兩次匯改,人民幣匯率的彈性大大增強(qiáng),但由于人民幣中間價(jià)所反映的價(jià)格較難真實(shí)反映市場(chǎng)的供求關(guān)系,人民幣即期匯率依然存在一定的單邊預(yù)期。遠(yuǎn)期匯率是最基礎(chǔ)的外匯衍生產(chǎn)品,標(biāo)的物清晰,期限和價(jià)格可以根據(jù)現(xiàn)金流的需求協(xié)商確定,并能夠?qū)崿F(xiàn)即期市場(chǎng)不能實(shí)現(xiàn)的規(guī)避匯率風(fēng)險(xiǎn)、價(jià)格發(fā)現(xiàn)功能,也是各類衍生產(chǎn)品的定價(jià)基礎(chǔ)。因此,選擇遠(yuǎn)期匯率作為研究對(duì)象具有很強(qiáng)的現(xiàn)實(shí)意義。 我國(guó)目前的遠(yuǎn)期結(jié)售匯制度依然基于貿(mào)易實(shí)需原則,采用到期交割本金的方式。除了境內(nèi)的遠(yuǎn)期結(jié)售匯市場(chǎng),在香港、新加坡還有離岸人民幣無(wú)本金交割NDF市場(chǎng),離岸市場(chǎng)交頭活躍,其價(jià)格發(fā)現(xiàn)功能對(duì)于境內(nèi)人民幣遠(yuǎn)期匯率、人民幣即期匯率都有較大影響。本文在深入分析境內(nèi)遠(yuǎn)期市場(chǎng)的發(fā)展及離岸NDF市場(chǎng)的成功經(jīng)驗(yàn)的基礎(chǔ)上,選用較為創(chuàng)新的遠(yuǎn)期升貼水率作為數(shù)據(jù)基礎(chǔ),通過(guò)格蘭杰因果檢驗(yàn)、脈沖響應(yīng)函數(shù)、誤差修正模型檢驗(yàn)2010年6月匯改前后人民幣境內(nèi)外市場(chǎng)遠(yuǎn)期定價(jià)權(quán)的博弈,得出除了1月期遠(yuǎn)期合約以外,其余3月、6月、12月合約在2010年匯改后,境內(nèi)遠(yuǎn)期市場(chǎng)的定價(jià)能力顯著提升,并能夠通過(guò)信息優(yōu)勢(shì)影響離岸NDF市場(chǎng),人民幣一系列的改革措施對(duì)于人民幣遠(yuǎn)期市場(chǎng)的發(fā)展是有積極意義的。 通過(guò)對(duì)比境內(nèi)外人民幣遠(yuǎn)期市場(chǎng)的發(fā)展經(jīng)驗(yàn)及實(shí)證檢驗(yàn)的結(jié)果,筆者認(rèn)為,我國(guó)可以有序推進(jìn)利率市場(chǎng)化,適時(shí)走出去、引進(jìn)來(lái),同時(shí)也需要練好內(nèi)功。2013年上海自由貿(mào)易試驗(yàn)區(qū)正式掛牌,其后自貿(mào)區(qū)擴(kuò)大服務(wù)業(yè)開(kāi)放措施、央行30條對(duì)自貿(mào)區(qū)的發(fā)展指明了方向。人民幣遠(yuǎn)期市場(chǎng)改革將能夠通過(guò)自貿(mào)區(qū)先行試點(diǎn),逐步推廣。
[Abstract]:After the two exchange rate reforms in 2005 and 2010, the flexibility of RMB exchange rate is greatly enhanced, but because the price reflected by the intermediate price of RMB is difficult to truly reflect the relationship between supply and demand in the market, there is still a certain unilateral expectation of the spot exchange rate of RMB. The forward exchange rate is the most basic foreign exchange derivative product, the subject matter is clear, the term and price can be determined through negotiation according to the demand of cash flow, and can realize the function of avoiding exchange rate risk and price discovery which can not be realized in spot market. It is also the pricing basis of all kinds of derivatives. Therefore, the choice of forward exchange rate as the object of study has a strong practical significance. The present forward settlement and sale of foreign exchange system in China is still based on the principle of real trade demand and adopts the method of delivery of principal due. In addition to the domestic forward settlement and sale market, in Hong Kong and Singapore there is an offshore renminbi non-deliverable NDF market, and the offshore market is active. Its price discovery function is for the domestic renminbi forward exchange rate. The spot exchange rate of RMB has great influence. Based on the in-depth analysis of the development of domestic forward market and the successful experience of offshore NDF market, this paper selects the more innovative forward rising discount rate as the data basis, through Granger causality test, pulse response function, The error correction model tests the game of the forward pricing power in the domestic and foreign markets before and after the exchange rate reform in June 2010, and draws the conclusion that the other contracts in March, June and December are after the exchange rate reform in 2010, except for the one-month forward contracts. The pricing power of domestic forward market has been improved significantly, and the offshore NDF market can be influenced by information superiority. A series of reform measures of RMB are of positive significance to the development of RMB forward market. By comparing the development experience of domestic and foreign RMB forward markets and the results of empirical tests, the author believes that China can promote the marketization of interest rates in an orderly manner, go out at the right time, and bring in. In 2013, the Shanghai Free Trade Zone was officially listed, and since then the Free Trade Zone has expanded its service sector opening measures. The central bank has set the direction for the development of the free trade zone. The forward market reform of RMB will be able to be promoted step by step through the pilot of the Free Trade Zone.
【學(xué)位授予單位】：華東師范大學(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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