人民币汇率定价权问题研究:基于NDF与即期汇率曲实证检验

通过对1999年5月5日-2008年9月1日人民币即期汇率和一年期人民币NDF汇率的研究发现:(1)汇改前,人民币即期汇率本身与人民币NDF没有直接联系,但其变动趋势受NDF影响;(2)汇改后,人民币NDF与人民币即期汇率联系加强,二者的绝对值水平和变动趋势相互影响,互为因果关系。随着人民币NDF对即期汇率影响的加大,人民币汇率定价权问题需引起重视,应加强对人民币NDF的研究,一味地将境内外外汇市场隔绝的政策并非明智之举。

The Empirical Research on the Pricing Power of RMB Exchange Rate:Based on the RMB NDF and Spot Exchange Rate

Based on the empirical research on the spot and Non-deliverable Forward RMB exchange rate from 5th May 1999 to 1st Sep 2008,this paper finds out that:(1) before the reform of RMB exchange regime,there was no direct relationship between spot and NDF RMB exchange rate while the tending of the former was affected by the lat-ter,(2) since the reform,the spot and NDF exchange rate have gained much more correlation with each other. Conse-quently,more attention should be paid to the pricing power of RMB exchange,and it's wise not to keep local market away from offshore FX market anymore.