人民币境内外远期与境内即期汇率的互动关系研究

【作者】 刘珂；

【导师】 牛晓健；

【作者基本信息】 复旦大学 ， 金融学， 2013， 硕士

【摘要】 2010年央行启动二次汇改以来,人民币外汇衍生品市场的发展也异常迅速。境内人民币期权交易的启动,香港CNH远期、掉期、期货纷至沓来,CME也于今年2月开始重启离岸人民币期货交易。这些远期产品的功能之一是价格发现,之前有很多学者围绕这一功能对NDF和境内即远期做过比较和分析认为NDF在对境内即期汇率的价格发现上比境内远期更有引导作用。2010年底香港CNH远期市场诞生以后,其迅猛的发展势头已经超过了NDF,且伴随着二次汇改境内远期的交易也逐渐增大,客观环境发生变化以后,三个市场间的引导关系及信息传递是否发生变化是本文研究的重点。本文对境内远期、NDF、CNH远期和境内即期市场分别建立VAR模型,然后进行格兰杰因果关系检验、协整检验、脉冲响应分析,得出结论：1年期NDF和CNH远期都对境内即期汇率有引导关系,1年期NDF对即期汇率扰动响应明显。而即期汇率对1年期境内远期和3个月远期有引导关系。这个结论充分揭示了在价格发现的引导关系上,香港离岸市场是处于主导地位,NDF市场依旧是引导的主导者,新增的CNH远期也已经对境内即期有很强的引导关系。而境内远期由于汇率形成机制问题,仍处于被引导状态。在信息传递上,本文对各远期和即期分别建立VAR-BEKK-GARCH模型进行报酬溢出和波动溢出分析,结论是在报酬溢出上,NDF和CNH远期对于境内即期有单向的报酬溢出。而在波动溢出上,则是即期市场与1年期NDF和1年期境内远期双向溢出,而即期市场对1年期CNH远期和3个月期境内远期都有单向的波动溢出。这说明在信息传递上,境内即期市场处于信息中心地位,各个市场接受境内即期市场的信息影响。尽管境内即期市场处于信息中心地位,但境外远期市场在价格发现上的引导作用已初步显现。除NDF之外,CNH远期的发展也给人民币定价权增加了新的不确定性。因此本文建议境内需要尽快推出在岸NDF并继续深化现有远期市场。更多还原

【Abstract】 One of the features of derivatives is price discovery. Many scholars conducted a lot of comparison and analysis around NDF and the domestic forward, found that NDF has more guiding role than the domestic forward on the spot market. CNH trading volume had exceeded NDF even it started only about2years. As the objective environment changes, this paper will check whether the causal relationship and information flow between those markets changed or not.This paper made a VAR model using CNY DF, NDF, CNH-DFand the domestic SPOT between2010/8/23and2012/12/14respectively. by Granger causality test, Cointegration test, impulse response analysis, concluded that:1-year NDF and CNH-DF leading on the spot exchange rate,1-year NDF has responded to disturbance from SPOT. The spot is leading to1year and3months CNY DF. This conclusion is fully revealed that the offshore market in Hong Kong is in a dominant position in the price discovery causal relationship, The NDF market is still the leader of the causal relationship, and the new CNH-DF also has a strong causal relationship within the spot. But DF is still in the state to be guided.Then this paper established a VAR-BEKK-GARCH model using CNY DF, NDF, CNH-DF and the domestic SPOT respectively, and analyzed return spillover as well as volatility spillover. It reaches the final conclusions as follows:NDF and CNH forward have unidirectional spillover to spot on return spillover,1year NDF and1year CNY DF have two-way volatility spillover to SPOT. However, SPOT has unidirectional volatility spillover to1year CNH DF and3months CNY DF. This indicates that spot is the information center on information flows, as other markets accept the impact of spot.Although the status of the domestic spot market is the information center, but the guiding role of the offshore forward market in price discovery is initially apparent. Besides NDF the CNH forward also increased new uncertainty for RMB pricing. Thus, this paper suggested that it is a must to establish onshore NDF and deepen the existing forward market.更多还原