| 考虑结构突变的人民币远期外汇市场无偏性研究 |
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| 引用本文： | 田凤平,李仲飞.考虑结构突变的人民币远期外汇市场无偏性研究[J].上海财经大学学报,2012(4):72-79. |
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| 作者姓名： | 田凤平 李仲飞 |
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| 作者单位： | 中山大学国际商学院;中山大学岭南(大学)学院 |
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| 基金项目： | 国家杰出青年科学基金项目(编号:70825002);国家自然科学基金项目(编号:70971143);中国博士后科学基金(编号:2011M500134);广东省哲学社会科学规划项目(编号:GD11YLJ01);广东省人文社会科学重点研究基地重大项目(编号:09JDXM79019);中央高校基本科研业务费专项资金资助项目(10wkjc05);中山大学“985工程”三期建设项目金融创新与区域发展研究创新基地;2011年度中山大学人文社会科学青年教师桐山基金项目;广东省高等学校高层次人才项目“最优再保险、投资与分红的模型与策略研究” |
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| 摘 要： | 本文考察我国汇改后的美元/人民币、欧元/人民币、日元/人民币的即期汇率和远期汇率之间的协整关系以及对应远期市场的无偏性。FMOLS估计结果表明,回归模型中变量间关系存在结构突变。允许结构突变的协整模型估计结果表明:美元/人民币远期市场的无偏性模型存在多个结构突变点,对应市场的无偏性在某些时段成立;日元/人民币远期市场的无偏性模型也存在多个结构突变点,对应市场的无偏性在整个考察期内均不成立;欧元/人民币远期市场的无偏性模型不存在结构突变,对应市场的无偏性在整个考察期内不成立。
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| 关 键 词： | 市场无偏性 结构突变 协整 |
A Study on the Unbiasedness of RMB Forward Exchange Market in Consideration of Structural Breaks |
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| TIAN Feng-ping,LI Zhong-fei.A Study on the Unbiasedness of RMB Forward Exchange Market in Consideration of Structural Breaks[J].Journal of Shanghai University of Finance and Economics,2012(4):72-79. |
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| Authors: | TIAN Feng-ping LI Zhong-fei |
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| Institution: | 1.International Business School,Sun Yat-sen University,Guangdong Guangzhou 510275,China; 2.Lingnan College,Sun Yat-sen University,Guangdong Guangzhou 510275,China) |
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| Abstract: | This paper examines the cointegration between spot exchange rates and forward exchange rates and the unbiasedness of forward exchange market.FMOLS estimation shows that there are structural breaks of the relationship among variables in regression model.The estimation of cointegration model in consideration of structural break indicates that there are multiple structural breaks in unbiasedness model of USD/RMB forward market and there is the unbiasedness of corresponding market during certain periods;there are also multiple structural breaks in unbiasedness model of JPY/RMB forward market and there is no unbiasedness of corresponding market throughout the sample period;there is no structural break in unbiasedness model of EUR/RMB forward market and there is no unbiasedness of corresponding market throughout the sample period. |
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| Keywords: | market unbiasedness structural break co-integration |
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