人民币汇率市场情绪指标有效性几何?

How Effective is RMB Market Sentiment Indicator?

目前,金融市场上衡量人民币汇率预期的指标主要有三个,分别是在岸与离岸价差(CNY-CNH) 、风险逆转期权以及人民币NDF。三种指标从不同角度刻画了投资者的预期。三者有时候趋向一致,有时候也会呈现一定的分化,该文逐一验证上述情绪指标的有效性。综合来看,CNY-CNH价差的准确性相对更高。

At present,there are three major indicators for RMB exchange rate expectations in the financial market,namely,the CNY-CNH spread,risk reversal options,and RMB NDF,which depict investor expectations from different angles.Sometimes they reach the same prediction while other times present a certain degree of differentiation.This article verifies the effectiveness of the above sentiment indicators on a case-by-case basis and concludes that the CNY-CNH spread has an overall better accuracy.