人民币汇率定价权问题研究:基于NDF与即期汇率的实证检验

The Empirical Research on the Pricing Power of RMB Exchange Rate:Based on the RMB NDF and Spot Exchange Rate

通过对1999年5月5日-2008年9月1日人民币即期汇率和一年期人民币NDF汇率的研究发现:(1)汇改前,人民币即期汇率本身与人民币NDF没有直接联系,但其变动趋势受NDF影响;(2)汇改后,人民币NDF与人民币即期汇率联系加强,二者的绝对值水平和变动趋势相互影响,互为因果关系。随着人民币NDF对即期汇率影响的加大,人民币汇率定价权问题需引起重视,应加强对人民币NDF的研究,一味地将境内外外汇市场隔绝的政策并非明智之举。

Based on the empirical research on the spot and Non-deliverable Forward RMB exchange rate from 5th May 1999 to 1st Sep 2008, this paper finds out that：（1） before the reform of RMB exchange regime, there was no direct relationship between spot and NDF RMB exchange rate while the tending of the former was affected by the latter, （2） since the reform, the spot and NDF exchange rate have gained much more correlation with each other. Consequently, more attention should be paid to the pricing power of RMB exchange, and it＇s wise not to keep local market away from offshore FX market anymore.