人民币远期汇率定价实证分析

An Empirical Study on Pricing of Renminbi Forward Exchange Rate

人民币远期结售汇是我国较早发展的最常用的规避汇率风险的产品之一。本文运用协整检验和格兰杰因果检验方法,对境内人民币远期定价的抵补和非抵补利率平价条件以及境内外远期汇率长期均衡关系和信息传导机制进行了实证分析。实证分析结果表明,利率平价条件在境内人民币远期汇率定价中起到基础性作用,受一些限制因素影响,汇率预期的非抵补利率平价条件不成立,远期汇率水平不能作为未来即期汇率的预期变量,境内外远期汇率存在一定的长期均衡关系,境内远期汇率对境外汇率有相对明显的引导作用,境外远期汇率的非理性人民币升值预期,也对境内远期汇率定价存在影响。

Renminbi forward is one of the most commonplace financial instruments for exchange rate risk management. This paper adopts co-integration test and granger causality test to analyze the CIP and UIP condition of Renminbi forward pricing mechanism, to analyze the long-run stationary relationship and information transferring mechanism between domestic and offshore exchange rate of Renminbi forward. Based on the results, we put forward some suggestive policies for further growth of Renminbi forward market.