| 黄金期货中的隐含远期人民币汇率及其运用研究 |
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| 引用本文： | 袁鲲,杨晔.黄金期货中的隐含远期人民币汇率及其运用研究[J].改革与战略,2010,26(6):88-90,110. |
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| 作者姓名： | 袁鲲 杨晔 |
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| 作者单位： | 1. 广东商学院金融学院,广东,广州,510320
2. 招商证券研究发展中心,广东,深圳,518000 |
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| 基金项目： | 2007年度中国证券业协会科研课题重点项目《境外衍生品市场发展的经验教训及其借鉴研究》 |
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| 摘 要： | 中国黄金市场已高度市场化与国际化,在按人民币即期汇率调整后,境内外黄金市场现货价格之间已没有明显的升贴水。基于黄金期货之间的隐含远期汇率与离岸人民币NDF市场远期汇率到期前的不一致性与临近到期日的一致性,运用黄金期货构建替代性的远期外汇头寸,为投资者提供了现行管制环境下实现外汇投资、跨市场套利以及对真实外汇敞口风险进行套期保值的新渠道。
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| 关 键 词： | 黄金期货 人民币汇率 远期 套期保值 |
Implied RMB Forward Exchange Rate and Its Application in Domestic and Foreign Gold Future Markets |
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| Yuan Kun,Yang Ye.Implied RMB Forward Exchange Rate and Its Application in Domestic and Foreign Gold Future Markets[J].Reformation & Strategy,2010,26(6):88-90,110. |
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| Authors: | Yuan Kun Yang Ye |
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| Institution: | 1. Guangdong University of Business Studies, Guangzhou, Guangdong 510320; 2. China Merchants Securities Co., LTD., Shenzhen, Guangdong 518000) |
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| Abstract: | The RMB forward rate implied between the domestic gold futures prices and international gold futures prices because of high degree of internationalization of China＇s gold market. Based on the inconsistence between the implied forward exchange rate and current rate, gold futures market provide possible mechanisms of foreign exchange investment, arbitrage and hedging foreign exchange risks for international traders and investors through the use of alternative position of forward foreign exchange. |
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| Keywords: | gold future RMB exchange rate forward hedging |
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