摘要
自2005年7月人民币汇率形成机制改革以来,中国境内远期汇率和未来即期汇率之间也存在显著的持续偏离。本文从风险溢价、比索问题以及预期的非理性三个角度来解释远期汇率与未来即期汇率的持续偏离。通过模型的构建,得出远期汇率的持续偏离产生于比索效应和非理性预期的结论。这一结论对人民币汇率的管理具有重要的理论指导意义。
Since the beginning of RMB exchange rate reform in July 2005, there has been an ob- vious lasting deviation between the forward exchange rate and future instant exchange rate. In this paper, from the angles of risk premium, peso problem, irrationality expectation, we explain the ob- vious lasting deviation between the forward exchange rate and future instant exchange rate. By con- structing the model, we find out that, to some extent, the continuous deviation of forward ex- change rate is caused by peso problem and irrational expectation. It has an important theoretical sig- nificance for RMB exchange rate management.
出处
《现代财经（天津财经大学学报）》
CSSCI
北大核心
2013年第10期87-97,共11页
Modern Finance and Economics：Journal of Tianjin University of Finance and Economics
关键词
远期汇率偏差
预期非理性
比索效应
forward exchange rate deviation： irrational expectation
Peso problem,
