本文選題：遠(yuǎn)期匯率 + 即期匯率　； 參考：《世界經(jīng)濟(jì)》2017年04期

【摘要】：本文就2010-2016年美元、歐元、日元、港幣、英鎊、澳元和加元對(duì)人民幣7種遠(yuǎn)期匯率的信息含量和定價(jià)偏差進(jìn)行研究,從多邊匯率角度挖掘人民幣定價(jià)機(jī)制的深層次問(wèn)題�；跇�(gòu)建的三角匯率模型研究結(jié)果顯示:除港幣外,其他5種非美元貨幣遠(yuǎn)期匯率具有的信息含量有限,均受美元遠(yuǎn)期匯率的影響;美元遠(yuǎn)期匯率偏離市場(chǎng)預(yù)期的狀態(tài)會(huì)傳導(dǎo)至非美元遠(yuǎn)期匯率,導(dǎo)致后者同樣偏離市場(chǎng)預(yù)期;這些遠(yuǎn)期匯率與相應(yīng)的即期匯率之間也不存在直接的價(jià)格引導(dǎo)關(guān)系,價(jià)格發(fā)現(xiàn)能力有限�；谶h(yuǎn)期匯率與拋補(bǔ)利率平價(jià)隱含價(jià)格和預(yù)期未來(lái)即期匯率之間的回歸分析,本文發(fā)現(xiàn):在對(duì)美元實(shí)行兌換限制時(shí),必然導(dǎo)致對(duì)其他貨幣同樣采取兌換限制;7種貨幣遠(yuǎn)期匯率均存在顯著的CIP隱含偏離,拋補(bǔ)利率平價(jià)與非拋補(bǔ)利率平價(jià)在中國(guó)外匯市場(chǎng)基本無(wú)法成立。
[Abstract]:In this paper, the information content and pricing bias of the seven forward exchange rates of RMB from 2010-2016 to US dollar, euro, yen, Hong Kong dollar, sterling, Australian dollar and Canadian dollar are studied, and the deep problems of RMB pricing mechanism are explored from the perspective of multilateral exchange rate. The results of the study based on the triangular exchange rate model show that the information content of the other five non-US dollar currencies is limited except Hong Kong dollar, and all of them are affected by the US dollar forward exchange rate. The deviation of US dollar forward rates from market expectations can be transmitted to non-dollar forward rates, resulting in the latter also deviating from market expectations; there is also no direct price-guiding relationship between these forward rates and the corresponding spot rates. Price discovery capacity is limited. Based on the regression analysis between the forward exchange rate and the implied price of the surcharge interest rate parity and the expected future spot exchange rate, this paper finds that when the convertibility restrictions are imposed on the US dollar, It is inevitable that there is a significant deviation of CIP in the forward exchange rate of all the seven currencies, and the complementary interest rate parity and the non-subsidy interest rate parity cannot be established in China's foreign exchange market.
【作者單位】： 北京航空航天大學(xué)經(jīng)濟(jì)管理學(xué)院;
【基金】：國(guó)家自然科學(xué)基金項(xiàng)目(71303016)和(71671008)的資助
【分類號(hào)】：F832.6

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