人民币美元即期汇率与远期汇率联动关系研究

The Empirical Evidence of the Linkage between the Spot and Forward Exchange Rate between RMB and US Dollar

汇率改革以来,人民币汇率波动日益频繁,本文对2005年汇率改革后至2007年4月的汇率数据进行了单位根、协整检验以及格兰杰因果检验,认为人民币即期汇率与远期汇率存在长期协整关系,说明即期汇率市场是远期汇率市场的基础;同时还认为我国远期汇率对即期汇率的预期作用很弱,外汇市场的市场化程度不高。这说明随着我国汇率体制的改革,银行间远期汇率市场建立,即期汇率市场的市场化程度不断加深,我国外汇市场的运行机制得到进一步完善,但同时也说明远期汇率市场的定价机制和预期功能并没有得到充分的发挥。

Since reform in exchange rate, the fluctuation in the exchange rate of RMB has been increasingly frequent. With the help of the unit root test, cointegration test and Granger Causality test of the exchange rate between reform in exchange rate in 2005 to April, 2007, the authors find out that, in the long run, there is a cointegrate relation between the spot and forward exchange rate of RMB, which demonstrates that the forward exchange rate market is the basis for the spot exchange rate market. The authors also find out that the role the spot exchange rate play in forecasting the forward exchange rate is very weak and the level of marketization in the exchange rate market is not very high. It shows that, with reform in China＇s exchange rate system, the establishment of inter-bank forward exchange rate, and the deepening marketization in the spot exchange rate, the mechanism in China＇s exchange rate market is improved further. It also shows that we have not yet given full play to role of forward exchange rate market in pricing and forecasting.