人民币远期汇率无偏性的动态检验

Dynamic Test on the Unbiasedness of RMB Forward Exchange Rate

本文运用带有结构断点的ZA平稳性检验和滚动协整检验方法,对2005年7月到2016年5月境内外四种不同期限的人民币远期汇率和即期汇率进行分析,动态地考察人民币对美元远期汇率对未来汇率的预测是否具有无偏性。带有结构断点的平稳性检验表明,NDF不同期限的远期汇率和即期汇率的差值序列是平稳的,人民币远期汇率满足无偏性的必要条件。而滚动协整检验表明,除1个月期远期汇率和即期汇率之间存在稳定的协整关系,其他期限之间并不存在持续的协整关系,且协整系数在大部分时间内显著异于1。另外,境外NDF汇率无偏性的表现在各方面要强于境内银行间外汇市场远期汇率;随着人民币汇率市场化程度的逐步加深,远期汇率的无偏性表现并没有显著提升。

Using the ZA stationary test and the rolling co-integration test with structural breakpoints, this paper analyzes the relationship between RMB forward exchange rate and spot exchange rate for four different term periods from July 2005 to May 2016, and dynamically examines whether the CNY/USD dollar forward exchange rate is unbiased. According to the sta- tionary test with the structural break-point, the remnant of the forward exchange rate and the spot exchange rate is stable during different terms, and this is a necessary condition for unbiasedness of the forward exchange rate. The rolling co-integra- tion test shows that besides the one-month forward exchange rate and spot exchange rate demonstrating the stable co-integra- tion relationship, there is no co-integration relationship between the forward exchange rate and the spot exchange rate, and the co-integration coefficient is significantly different from 1 for most of the time. In addition, the test result shows that the NDF exchange rate performs better than the forward exchange rate of RMB in domestic inter-bank foreign exchange market in all aspects regarding the unbiasedness. With the gradual marketization of the RMB exchange rate, the unbiased performance of the forward exchange rate has not improved significantly.