境内外人民币远期市场定价权归属问题研究

Research on the Pricing Power of RMB Forward Markets at Home and Abroad

在开放经济和金融全球化的背景下,金融市场定价权的争夺是全球性的。本文选取不同期限的境内外人民币远期市场组合,采用ECM和BEKK模型分析了人民币远期市场的定价权归属及其稳定性问题。基于ECM模型的Granger因果检验表明,信息是从NDF市场流向国内远期市场,NDF市场在总体上享有定价权。基于BEKK的动态相关系数模型估计结果表明,NDF市场的定价权归属的稳定性经历了上升、下降、再上升的过程。文章的政策建议是:过度的外汇管制会阻碍市场广度和市场深度的提高,导致市场定价权的缺失,为此需要实行适度管制,放开市场准入、培育市场主体、提高市场流动性。

In the circumstance of open economy and financial globalization, the pursuit of financial market＇ s pricing power is universal. This article selects different RMB forward market combination with the same maturity, adopts ECM and BEKK models to analyze the pricing power allocation and its stability of RMB forward markets. The empirical results of Granger causality based ECM model indicate that the information flow direction is from NDF markets to domestic ones, meaning that NDF markets possess pricing power as a whole. The dynamic correlations estimated by BEKK model imply that the stability of pricing power has undergone the course of rise, decline and then rise. The results have policy recommendations that severe foreign exchange regulation would prevent the market＇ s breadth and depth from increasing, resulting in the loss of market dominance. Therefore, we should adhere to the principle of moderate regulation, unloosening the restriction of market admittance, cultivating market participators and then improving market liquidity.