人民币外汇期货与现货市场信息流动关系研究

The Study on the Relationship of Information Flow between RMB Currency Futures and Spot Market

随着国内汇率改革政策的不断推进,人民币汇率波动幅度不断增大,拉动了中小企业投资者对人民币汇率套期保值和投机交易等需求。本文通过引入小波多分辨率分析方法,结合经典计量经济学方法,对境外人民币外汇期货市场和人民币现货市场的代表变量日对数收益序列进行分解,以人民币中间价改革为分界点分割样本,考察近两年人民币外汇期货市场与人民币现货市场信息流动关系。研究发现,经过汇率改革,两市场间的联动性不论从长期趋势还是短期波动来看日益增强,尤其是长期趋势的联动性变化更明显,表明中国市场更加开放,还需国内尽快推出人民币外汇期货合约,以期进一步巩固人民币国际地位,促进金融市场健康稳定发展,同时服务于实体经济的发展。

With the increasingly deepening domestic currency reform,the RMB exchange rate volatility increases continuously,and the demand of small and medium-sized enterprise investors for hedging and speculation of the RMB exchange rate is increasing.In this paper,we decomposed the daily logarithm yield sequence of variables on behalf of the overseas futures market and spot market of RMB currency by introducing the wavelet multi-resolution analysis method,combining with the classical econometric method.Then,we chose the cut-off point of the reform of RMB middle price as the divided sample,and inspected the relationship of the futures markets and spot market of RMB currency nearly two years.We found that the correlation between the two markets is growing both from the trend of long-term and the short-term volatility.And the long-term trend of correlation change is more obvious.This result suggests that the Chinese market is more open,and we need launch RMB currency futures contract as soon as possible in the domestic.This will help to further consolidate the international status of the RMB,and serve the development of the real economy.