| 人民币即期汇率与境内外远期汇率动态关联——NDF监管政策出台之后 |
| |
| 引用本文： | 严敏,巴曙松.人民币即期汇率与境内外远期汇率动态关联——NDF监管政策出台之后[J].财经研究,2010,36(2). |
| |
| 作者姓名： | 严敏 巴曙松 |
| |
| 作者单位： | 1. 中国科学技术大学管理学院,安徽合肥,230026
2. 中国科学技术大学管理学院,安徽合肥,230026;国务院发展研究中心金融研究所,北京,100010 |
| |
| 摘 要： | 文章运用Granger因果检验方法和DCC-MGARCH模型,对外管局禁止境内机构从事NDF交易后人民币对美元即期汇率市场、境内远期汇率市场和境外NDF市场之间的动态关联关系进行了实证研究,研究发现:市场间常条件和动态条件相关系数随着合约期限的增长呈递减态势,即期市场与NDF市场之间的相关性最强,境内外远期市场之间的相关性最弱;虽然即期市场存在对NDF市场的信息波动溢出效应,但从总体上看,NDF市场的价格引导力量强于即期市场和境内远期市场,处于市场价格信息的中心地位。
|
| 关 键 词： | NDF 监管政策 波动溢出 DCC-MGARCH |
The Dynamic Relationship among RMB Spot Exchange Rate, Onshore Forward Exchange Rate and Offshore Forward Exchange Rate after the Implementation of NDF Regulation Policy |
| |
| YAN Min,BA Shu-song.The Dynamic Relationship among RMB Spot Exchange Rate, Onshore Forward Exchange Rate and Offshore Forward Exchange Rate after the Implementation of NDF Regulation Policy[J].The Study of Finance and Economics,2010,36(2). |
| |
| Authors: | YAN Min BA Shu-song |
| |
| Institution: | 1.Management School;University of Science and Technology of China;Hefei 230026;China;2.Research Institute of Finance;Development Research Center of the State Council;Beijing 100010;China |
| |
| Abstract: | Based on the Granger causality test and the DCC-MGARCH model,the paper makes an empirical study on the dynamic relationship among RMB spot market,onshore forward market and offshore forward market after the implementation of the ban against domestic institutions' NDF transaction.The evidence suggests that the constant and dynamic conditional correlations among markets gradually decrease as the contract duration increases.The correlation between spot market and NDF market is the strongest,but the one between... |
| |
| Keywords: | NDF regulation policy spillover effect DCC-MGARCH |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
|
