人民币汇率预期与人民币NDF汇率的实证研究

An Empirical Study of CNY Exchange Rate Expected and NDF Rate

人民币汇率预期的形成机制和人民币汇率的变动是全球关注的热点问题之一。为了寻找适合于描述人民币汇率预期的变量,我们进行了定性及定量研究。研究表明,人民币NDF汇率能够较好地反映国际金融市场对人民币汇率的预期,且此类预期与人民币实际有效汇率之间存在长期均衡的关系,即NDF汇率在一定程度上反映了人民币汇率的真实价值。

The expectation of CNY exchange rate and its volatility is one of market focus in global FX market. The relationship between the CNY exchange rate expected and the NDF rate is analyzed in the paper. We find that NDF rate is an appropriate proxy for the CNY rate expected in the FX market. The empirical study shows that there is an integrated relation between NDF and CNY REER.