摘要
2005年7月21日汇率形成机制改革以来,人民币即期汇率波动幅度加大,企业和居民面临的汇率风险加大。在远期市场上,套期保值是规避汇率风险的常用办法。当前经营人民币远期产品的市场主要有两类,一类是境外NDF市场,另一类是境内远期外汇市场,包括银行间远期市场和远期结售汇市场。本文检验了境外NDF市场、境内远期外汇市场和即期外汇市场上人民币汇率的协整关系以及两类远期外汇市场的有效性。对各市场汇率时间序列进行的格兰杰因果检验表明国内远期外汇市场是人民币外汇市场的信息中心。最后,文章对当前的外汇管制政策进行了分析评论。
The exchange rate of RMB began to fluctuate after the foreign exchange reform, which brings risks. It is common to hedge on the forward market to avoid this kind of exchange rate risk. At present, there are two kinds of forward markets of RMB, which are the offshore NDF markets and the domestic forward markets including inter-bank market and OTC market In this article, the cointegration of the NDF rate, forward rate and the spot rate of RMB has been tested. Meanwhile the efficiency hypothesis has been tested. Finally, the granger causalities among the three rates above have been found, and remarks are given on some of the current exchange rate policies
出处
《国际金融研究》
CSSCI
北大核心
2007年第10期72-80,共9页
Studies of International Finance
