人民币即期汇率市场与境外衍生市场之间的信息流动关系研究

Information Flows between RMB Spot and Off-shore Derivatives Market

本文基于格兰杰因果检验方法和MGARCH-BEKK模型,检验人民币即期外汇市场与境外期货市场、境外NDF市场之间的信息流动关系。结果表明:境外期货市场对即期市场不具有任何溢出效应,期货市场的建立并未对即期市场的稳定性产生影响;境外NDF市场对即期市场存在着显著的报酬溢出效应;即期市场对各境外衍生市场仅具有滞后的报酬溢出效应,在价格变动上被境外NDF市场所引导;但在波动溢出效应方面,市场信息则由即期市场向各境外衍生市场单向传递。在三个市场中,境外NDF市场的价格引导力量强于即期市场和期货市场,处于市场价格信息的中心地位。

Based on the Granger causality tests and the multivariate GARCH model, this paper empirically analyzes the information flows between Renminbi （ RMB ） spot and off-shore derivatives markets. On the one hand, the evidence shows that there is no spillover effect from off-shore futures to spot market, which means the introduction of futures doesnt destabilize the spot market. On the other hand, the significant returns spillover effect exists from the non-deliverable forward （NDF） to spot market, and there is also lagged returns spillover effect from the spot to off-shore derivatives markets, which proves that the price change in the spot market is lead by the non-deliverable forward （NDF）. When it refers to the volatility spillover effect, the market information is transmitted from the spot to off-shore derivatives markets, but not vice versa. As a result, the authors argue that the NDF market is the center of market price information, since it＇s the most powerful in leading market price among the three markets.