中国银行间外汇市场的套利机会

Arbitrage Opportunities on China Inter-bank Foreign Exchange Market

对于人民币远期汇率是否满足利率平价,目前国内理论界与实务界还存在一定的分歧。本文任意选取2009年6月1～30日中国银行间外汇市场美元/人民币汇率连续实时的买卖报价等数据,首次对该市场的套利机会进行了测度。研究发现:(1)从抵补套利角度看,国内银行间中短期限(1年以内)的远期汇率定价符合利率平价理论;但因定价基准利率(SHIBOR)未能充分发挥基础利率的功能,致使1年期左右的人民币远期汇率存在潜在抵补套利机会,然而其收益率很低。(2)银行间外汇市场几乎随时都存在收益率可观的单边套利机会。(3)银行有足够的时间进行套利交易。

At present, domestic theoretical circles and professional circles remain apart on the question whether Renminbi forward exchange rate is priced based on interest rate parity. By randomly choosing the real-time and continuous bid and ask quotes of exchange rates for USD/CNY from June 1st 2009 to June 30th 2009 on China inter-bank foreign exchange market, this paper tests whether there are arbitrage opportunities on the market. From the perspective of covered interest rate arbitrage, the forward exchange rates with maturity less than one year satisfy the theory of interest rate parity. For SHIBOR fails to fully play the function of benchmark interest rate, arbitrage opportunities still exist in Renminbi forward exchange rates with maturity around one year. However, the yields of those arbitrages are low. Furthermore, there are many unilateral arbitrage opportunities with considerable yield on inter-bank foreign exchange market at almost any time everyday. Commercial banks have sufficient time to conduct arbitrage transactions.