人民币离岸NDF汇率与境内人民币汇率关系的实证

Empirical Research on the Relationship Between NDF Offshore RMB Exchange Rate and Domestic RMB Exchange Rate

人民币汇改以来,人民币离岸NDF市场的交易日趋活跃,对人民币汇率走势预期的影响也日渐增强。实证结果表明,人民币离岸NDF市场上存在着不同程度的人民币升值预期,预期升值水平与NDF汇率期限相关;人民币离岸NDF汇率影响着人民币即期汇率,离岸NDF市场对人民币即期市场存在单向波动溢出效应,在信息传递上表现为人民币离岸NDF市场的汇率信息向境内人民币市场传递。

As forex regime shifts, offshore RMB non-deliverable forward （NDF） contracts have been traded actively, and their trading volume has increased rapidly in recent years. Thus, it has begun to impact the expectation on the trend of RMB exchange rate. This paper aims to analyze the relationship between their price, the relationship between their transmission of information. Finally, this paper analyzes the reason of those results, advises that we should promote market-oriented reform of the RMB exchange rate formation mechanism steadily, develop the onshore RMB NDF.