| 人民币即期汇率市场与境外衍生市场之间的信息流动关系研究 |
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| 引用本文： | 李晓峰,陈华.人民币即期汇率市场与境外衍生市场之间的信息流动关系研究[J].金融研究,2008(5). |
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| 作者姓名： | 李晓峰 陈华 |
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| 作者单位： | 厦门大学经济学院金融系; |
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| 摘 要： | 本文基于格兰杰因果检验方法和MGARCH-BEKK模型,检验人民币即期外汇市场与境外期货市场、境外NDF市场之间的信息流动关系。结果表明:境外期货市场对即期市场不具有任何溢出效应,期货市场的建立并未对即期市场的稳定性产生影响;境外NDF市场对即期市场存在着显著的报酬溢出效应;即期市场对各境外衍生市场仅具有滞后的报酬溢出效应,在价格变动上被境外NDF市场所引导;但在波动溢出效应方面,市场信息则由即期市场向各境外衍生市场单向传递。在三个市场中,境外NDF市场的价格引导力量强于即期市场和期货市场,处于市场价格信息的中心地位。
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| 关 键 词： | 人民币期货 NDF 溢出效应 MGARCH |
Information Flows between RMB Spot and Off-shore Derivatives Market |
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| Li Xiaofeng Chen Hua.Information Flows between RMB Spot and Off-shore Derivatives Market[J].Journal of Financial Research,2008(5). |
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| Authors: | Li Xiaofeng Chen Hua |
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| Abstract: | Based on the Granger causality tests and the multivariate GARCH model,this paper empirically ana- lyzes the information flows between Renminbi(RMB)spot and off-shore derivatives markets.On the one hand, the evidence shows that there is no spillover effect from off-shore futures to spot market,which means the intro- duction of futures doesnt destabilize the spot market.On the other hand,the significant returns spillover effect exists from the non-deliverable forward(NDF)to spot market,and there is also lagge... |
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| Keywords: | Renminbi futures non-deliverable forward spillover effect multivariate GARCH |
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