CME人民币汇率期货与人民币汇率关系的实证研究

Empirical Analysis on Relationship between CME RMB Exchange Rate Futures and RMB Spot Exchange Rate

利用EG两步协整检验法以及Granger因果关系检验对芝加哥商业交易所(CME)人民币汇率期货与人民币汇率现货之间的关系进行实证研究。人民币汇率期货与现货之间存在长期均衡关系,人民币汇率现货与人民币汇率期货之间有双向Granger引导关系。因此,从国外外汇期货与现货关系表现出的特点、数据与方法、实证结果等方面进行了论证。

Cointegration test and Granger Causal test are adopted in this paper to estimate the relationship between RMB exchange rate futures of CME and RMB spot exchange rate. We find that there exist a long-term equilibrium relationship between the two series and RMB spot exchange rate can granger cause RMB exchange rate futures.