| 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 |
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| 引用本文： | 戎如香. 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[J]. 上海金融, 2008, 0(12) |
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| 作者姓名： | 戎如香 |
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| 作者单位： | 上海财经大学金融学院,上海,200433 |
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| 基金项目： | 国家自然科学基金项目(项目 ， 本文亦得到上海财经大学现代金融研究中心课题经费资助 |
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| 摘 要： | 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。
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| 关 键 词： | 人民币汇率定价权 汇率 Granger因果检验 |
The Empirical Research on the Pricing Power of RMB Exchange Rate:Based on the RMB NDF and Spot Exchange Rate |
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| Rong Ruxiang. The Empirical Research on the Pricing Power of RMB Exchange Rate:Based on the RMB NDF and Spot Exchange Rate[J]. Shanghai Finance, 2008, 0(12) |
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| Authors: | Rong Ruxiang |
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| Affiliation: | Rong Ruxiang |
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| Abstract: | 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. |
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| Keywords: | NDF |
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