【摘要】：隨著世界經(jīng)濟一體化程度的加深,世界各國之間的經(jīng)濟聯(lián)系越來越密切,國際貿(mào)易、對外直接投資、對外間接投資、銀行對外信貸等活動越來越頻繁,匯率成為各涉及對外經(jīng)濟活動的企業(yè)和投資者必須關注的焦點。由于中國人民銀行對人民幣匯率的波動區(qū)間的進一步放寬,企業(yè)和投資者所面臨的外匯風險也越來越大,為了規(guī)避和管理外匯風險、防止不必要的損失,企業(yè)和投資者必須重視匯率預測和市場判斷。盡管利率平價理論有許多缺陷,但該理論一直是解釋匯率行為的、最常用的理論基礎。那么利率平價理論在我國是否適用?人民幣匯率定價是否合理?我國外匯市場是否有效?這是本文的寫作目的。本文通過對中國貨幣市場和外匯市場的發(fā)展現(xiàn)狀的了解,采用市場化的Shibor、人民幣對美元匯率和美元Libor為研究對象來研究利率平價理論在我國的適用性。數(shù)據(jù)樣本為交易活躍的一周、一個月和三個月三種期限自2009年3月至2012年底的數(shù)據(jù),實證采用的主要方法為靜態(tài)和動態(tài)DCC-MGARCH模型。經(jīng)過實證檢驗及對比發(fā)現(xiàn),雖然動態(tài)DCC-MGARCH模型的實證效果較靜態(tài)實證效果較好,但兩種實證檢驗得出的結論相同：利率平價理論在中國不適用,人民幣匯率定價存在不足,我國外匯市場不是有效市場。由實證結論及對我國貨幣市場和外匯市場發(fā)展現(xiàn)狀的了解,發(fā)現(xiàn)利率平價理論在我國不適用的主要原因是我國人民幣匯率還未市場化及我國外匯市場發(fā)展不完善。對此提出要使人民幣匯率定價更合理,我國應穩(wěn)步推進市場化改革并加強外匯市場基礎設施建設,為人民幣匯率定價提供更透明和完善的市場環(huán)境。
[Abstract]:With the deepening of the degree of economic integration in the world, the economic ties between countries in the world are becoming more and more close. Activities such as international trade, foreign direct investment, foreign indirect investment, and bank external credit are becoming more and more frequent. Exchange rate has become the focus of enterprises and investors involved in foreign economic activities. As the people's Bank of China further relaxes the range of fluctuations in the RMB exchange rate, enterprises and investors are facing increasingly greater foreign exchange risks. In order to avoid and manage foreign exchange risks and prevent unnecessary losses, Companies and investors must attach importance to exchange rate forecasting and market judgment. Although the theory of interest rate parity has many defects, it has always been the most commonly used theoretical basis for explaining exchange rate behavior. So is the theory of interest rate parity applicable in China? Is the pricing of RMB exchange rate reasonable? Is China's foreign exchange market effective? This is the purpose of this paper. This paper studies the applicability of interest rate parity theory in China through the understanding of the current situation of the development of China's money market and foreign exchange market, and the use of market-oriented Shibor, RMB / US dollar exchange rate and US dollar Libor as research objects. The data samples are the data from March 2009 to the end of 2012 with three periods of active trading week, one month and three months. The main empirical methods are static and dynamic DCC-MGARCH model. Through the empirical test and comparison, it is found that although the dynamic DCC-MGARCH model has better empirical effect than static empirical effect, the two empirical tests have the same conclusion: the theory of interest rate parity is not applicable in China, and the RMB exchange rate pricing is insufficient. China's foreign exchange market is not an efficient market. Based on the empirical conclusions and the understanding of the current situation of the development of China's money market and foreign exchange market, it is found that the main reasons why the theory of interest rate parity is not applicable in China are that the RMB exchange rate in China has not yet been marketized and the development of our foreign exchange market is not perfect. In order to make RMB exchange rate pricing more reasonable, China should steadily promote market-oriented reform and strengthen the infrastructure construction of foreign exchange market so as to provide a more transparent and perfect market environment for RMB exchange rate pricing.
【學位授予單位】：南京財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.6

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