人民币远期汇率定价和市场建设研究

On the RMB Forward Pricing and Capacity Building

目前我国实行“以市场供求为基础、参考一篮子货币进行调节、有管理的浮动汇率制度”,这意味着在今后较长的一段时间内,以市场供求为基础的人民币汇率将在一定的涨跌幅范围内自由浮动。本文在将人民币汇率运动方程扩展为更一般的随机过程基础上,以限制条件下的即期汇率为标的产品,构建了在不完美市场下人民币远期汇率的定价模型。最后,本文提出了完善人民币远期市场的建议。

At present China is implementing the managed floating exchange rate system based on supply and de- mand and with the reference of basket currencies.That means the exchange rate of RMB against other curren- cies will float under certain limits.This paper develops a RMB forward pricing model under imperfect market based on stochastic process with RMB spot rate as the underlying currency.Finally,some policy suggestions of capacity buildings in forward market in China are proposed in the paper.