人民币即期汇率与境内外远期汇率动态关联——NDF监管政策出台之后

The Dynamic Relationship among RMB Spot Exchange Rate,Onshore Forward Exchange Rate and Offshore Forward Exchange Rate after the Implementation of NDF Regulation Policy

文章运用Granger因果检验方法和DCC-MGARCH模型,对外管局禁止境内机构从事NDF交易后人民币对美元即期汇率市场、境内远期汇率市场和境外NDF市场之间的动态关联关系进行了实证研究,研究发现:市场间常条件和动态条件相关系数随着合约期限的增长呈递减态势,即期市场与NDF市场之间的相关性最强,境内外远期市场之间的相关性最弱;虽然即期市场存在对NDF市场的信息波动溢出效应,但从总体上看,NDF市场的价格引导力量强于即期市场和境内远期市场,处于市场价格信息的中心地位。

Based on the Granger causality test and the DCC-MGARCH model, the paper makes an empirical study on the dynamic relationship among RMB spot market, onshore forward market and offshore forward market after the implementation of the ban against domestic institutions＇ NDF transaction. The evidence suggests that the constant and dynamic conditional correlations among markets gradually decrease as the contract duration increases. The correlation between spot market and NDF market is the strongest, but the one between onshore and offshore forward markets is the weakest. We also find that although the spot market has spillover effects of information volatility on NDF market, the NDF market which has the strongest power of price guide among the three markets is at the center of market price information.