基于SVAR模型对人民币NDF与即期市场价格联动关系的研究

Analysis of Price Conduction Between NDF Market and CNY Spot Market:Based on SVAR Model

本文基于SVAR模型,采用Granger因果检验、脉冲响应及方差分解的方法,分析即期汇率与NDF短期(1月)、中期(3月)、长期(12月)汇率之间的价格联动关系。结果发现:NDF市场在两个市场中占价格变动的主导作用,即NDF汇率决定即期汇率。同时人民币NDF期限越短,其与即期汇率的价格联动关系越强。

Based on SVAR model, the article analyzed the price conduction between NDF market and CNY spot market with the methods of Impulse Response and Variance Decomposition. The article considered short - term （ 1 month period）, mid - term （3 months period）, and long - term （ 1 year period） contracts in NDF market. The article found out that the fluctuations in NDF market could cause the price changing in spot market and the shorter the period the heavier the contribution.