| 中国银行间外汇市场的套利机会 |
| |
| 引用本文： | 邓观明.中国银行间外汇市场的套利机会[J].金融论坛,2010,15(6). |
| |
| 作者姓名： | 邓观明 |
| |
| 作者单位： | 厦门大学经济学院,厦门,361005 |
| |
| 摘 要： | 对于人民币远期汇率是否满足利率平价,目前国内理论界与实务界还存在一定的分歧。本文任意选取2009年6月1～30日中国银行间外汇市场美元/人民币汇率连续实时的买卖报价等数据,首次对该市场的套利机会进行了测度。研究发现:(1)从抵补套利角度看,国内银行间中短期限(1年以内)的远期汇率定价符合利率平价理论;但因定价基准利率(SHIBOR)未能充分发挥基础利率的功能,致使1年期左右的人民币远期汇率存在潜在抵补套利机会,然而其收益率很低。(2)银行间外汇市场几乎随时都存在收益率可观的单边套利机会。(3)银行有足够的时间进行套利交易。
|
| 关 键 词： | 利率平价 抵补套利 单边套利 银行间外汇市场 |
Arbitrage Opportunities on China Inter-bank Foreign Exchange Market |
| |
| Deng Guan-ming.Arbitrage Opportunities on China Inter-bank Foreign Exchange Market[J].Finance Forum,2010,15(6). |
| |
| Authors: | Deng Guan-ming |
| |
| Institution: | Deng Guan-ming |
| |
| Abstract: | At present, domestic theoretical circles and professional circles remain apart on the question whether Renminbi forward exchange rate is priced based on interest rate parity. By randomly choosing the real-time and continuous bid and ask quotes of exchange rates for USD/CNY from June 1st 2009 to June 30th 2009 on China inter-bank foreign exchange market, this paper tests whether there are arbitrage opportunities on the market. From the perspective of covered interest rate arbitrage, the forward exchange rate... |
| |
| Keywords: | interest rate parity covered interest rate arbitrage unilateral arbitrage inter-bank foreign exchange market |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
|
