境外人民币NDF和境内人民币掉期之间关系的实证研究

An Empirical Study on Relationship between Offshore NDF and RMB Swap

我国2005年7月21日启动人民币汇率形成机制改革以来,人民币汇率波动性显著放大,各经济主体运用人民币远期产品规避汇率风险的需求增加。本文运用协整检验、Granger因果关系检验、ECM模型和脉冲响应函数,运用交易比价活跃的5个期限的人民币远期产品对境外人民币NDF隐含掉期点数和境内人民币市场掉期点数之间的关系进行了实证分析并对其作用机制进行了讨论。结果表明,在各个期限的远期产品上,境外NDF隐含掉期点数和境内人民币掉期点数之间存在长期正向的协整关系,其中NDF处于主导地位。

After the FX regime shift, the volatility of RMB exchange rate increased dramatically. Attention was paid to foreign exchange risk and seeking instrument to hedge it. The offshore Non-Deliverable Forward market and domestic forward or swap market, including inter-bank and OTC market, provide such instrument. These two markets influence each other in many different ways. This paper adopts co-integration test and Granger test to analyze the long run relationship between offshore NDF and domestic swap rates and comes to some very useful results. At the end, we make some suggestions for further development of RMB forward market.