有效市场与人民币外汇市场有效性的协整分析

A Cointegration Analysis of Effective Market and the Effectiveness of RMB Foreign Exchange Market

文章对2001年1月2日～2009年2月20日的每日数据进行了Johansen协整分析,考察了我国汇率改革前后与欧盟、香港、日本、韩国、新加坡等国家(地区)间人民币外汇市场的有效性问题;同时,利用国内人民币1月期远期汇率和对应的未来即期汇率数据检验了人民币国内外市场的有效性。研究发现,汇改前人民币与上述国家(地区)货币间存在协整关系,拒绝外汇市场有效的假设;汇改后,人民币国际外汇市场的有效性明显改善,中国大陆与香港、日本之间的外汇市场是有效的,但与其他国家间的市场仍拒绝有效性假设。在人民币国内外汇市场中,远期和未来即期汇率间不存在协整关系,市场是非有效的。最后提出由内而外地进一步完善人民币汇率制度,以提高外汇市场的有效性。

This research investigates the effectiveness of the RMB foreign exchange market of China with the European Union, Hong Kong, Japan, Korea, Singapore and other countries （regions） by means of Johansen cointegration analysis before and after the reform of RMB regime, and by using 1/2/2001-2/20/2009 daily data. And at the same, the effectiveness of domestic and foreign markets is tested by using the data of the domestic RMB one month forward exchange rate and the corresponding future spot exchange rate. It finds that, before the reform, there is a cointegration relationship between RMB and these countries＇ currency exchange rate, which refuses the assumption of the foreign exchange market effectiveness; after the reform, the effectiveness of the market has been obviously improved, among which the foreign exchange markets of the Chinese mainland with Hong Kong and Japan are efficient while those with other countries still refuses the assumption of the market effectiveness. In the domestic foreign exchange market, the cointegration relationship between the forward and the corresponding future spot exchange rate does not exist, so the market is non-effective.