境内外人民币远期市场套期保值效率研究

On the Hedging Performance of Onshore and Offshore RMB Forward Markets

目前境内外存在两个人民币远期市场。远期市场的作用之一是套期保值,境内外远期市场套期保值绩效孰优孰劣,境内人民币远期市场是否能提供有效的套期保值绩效是很有意义的问题。本文通过建立误差修正模型对比研究境内外人民币远期市场的套期保值绩效,并且通过稳健性分析,表明境内人民币远期市场的套期保值绩效优于境外NDF市场。

There exists onshore forward market in mainland and offshore NDF market for RMB. The function of forward market is hedging. Some issues such as the comparative analysis of hedging performance of onshore and offshore RMB forward markets, and the hedging performance of onshore RMB forward market are worthy of studying. Through an ECM the paper makes a comparison between the hedging performance of onshore RMB forward market and the one of offshore RMB forward market. It indicates that the hedging performance of onshore RMB forward market is better than the one of offshore RMB forward market.