境内人民币远期与NDF汇率关系

Linkage between Onshore RMB Foreign Exchange Forward Markets and Offer Shore NDF Markets

对2006年8月11日至2009年11月30日1月期、3月期、6月期和12月期的远期汇率进行统计和计量分析后发现:金融危机后,境内人民币远期汇率与NDF汇率的总体波动性有所降低,人民币远期汇率弹性有所下降;境内人民币远期市场的定价能力提高主要体现在短期限品种NDF汇率对于境内人民币远期汇率单向引导关系减弱,而二者的相互引导关系增强;长期限品种NDF汇率对于境内人民币远期汇率的引导关系不变。因此后金融危机时期一方面要防范国际资本和政治经济压力对中国汇率的冲击,同时也要择机有序退出临时性汇率安排,稳步推进人民币汇率形成机制改革。

Based on the data from August 11,2006 to November 30,2009 with full statistical analysis and Granger test,this paper showed the overall volatility of both RMB Domestic and NDF forward exchange rate decreased after Finance crisis,and the RMB forward exchange rate flexibility were down as well.A one-way causal relationship from offshore to NDF markets weakened,while the relationship between each other enhanced.In the long duration,NDF forward exchange rate market was still Wind vane of onshore markets.Therefore,in the period of the post-financial-crisis,we should reduce the shocks of international capital and try to prevent political and economic pressure on China＇s exchange rate,we also needed to choose the right time to quit the temporary arrangements and promote the reform of RMB exchange rate steadily.