【作者】 王鹏；

【导师】 李丽霞；

【作者基本信息】 江南大学 ， 国际贸易学， 2014， 硕士

【摘要】 人民币汇率对我国经济、金融的稳定与发展有非常重要的作用。近年来，以人民币无本金交割远期（NDF）为代表的离岸衍生品市场发展迅速，一方面为进出口企业、跨国公司等提供了规避风险的工具，一方面对境内外汇市场产生了很大影响。即期外汇市场与远期外汇市场都是汇率定价的重要市场，而发达的远期外汇市场由于交易灵活、成本低等因素，常常成为价格的发现者和引导者，成为即期汇率的定价中心和波动来源，引发了人民币汇率定价权旁落的担忧。因而，研究人民币即期市场与NDF市场的互动关系，具有非常重要的意义。对监管者而言，可以根据即期市场与NDF市场的互动关系制定合理的汇率政策；对市场参与者而言，可以根据即期市场与NDF市场的互动关系合理预期，从而规避风险甚至获取收益。人民币即期市场与NDF市场的互动关系主要是指两市场之间信息的动态溢出，包括报酬溢出效应和波动溢出效应，分别用以反映两市场之间的价格信息和波动的传导。在理论分析的基础上，本文借鉴前人经验，对即期市场与NDF市场之间的互动机理、影响因素进行了分析。然后采用Granger因果检验和MA(1)-GARCH(1,1)模型分四阶段考察了在不同经济形势和政策下即期市场与NDF市场的互动关系。研究表明，人民币汇率制度改革和金融管制政策对即期市场与NDF市场的互动关系有非常重要的影响。从报酬溢出效应来看，2005年汇率制度改革前，即期市场基本处于价格信息中心的地位，但与NDF市场关于人民币汇率定价权之争是非常激烈的；汇率改革后，尤其是2010年新一轮汇改启动后，尽管仍受到NDF市场的影响，但是即期市场已经逐步取得了人民币汇率的定价权。从波动溢出效应来看，即期市场是波动来源，即期市场的波动能够显著引起NDF市场的波动；外汇管制政策能够使即期市场避免NDF波动的影响，然而随着金融管制的放松，即期市场必将受到NDF市场波动的冲击，但监管层不必为此过分担忧。从合约期限看，NDF合约期限越短，即期市场与NDF市场的互动关系越密切。从参与者的角度看，NDF短期合约的参与者主要是套期保值者，长期合约的参与者主要为投机者。总之，实证结果表明，新一轮汇率改革启动后，人民币即期市场已经成为人民币汇率的定价中心和波动来源。更多还原

【Abstract】 The RMB exchange rate plays an important role in China s economic, financial stabilityand development. In recent years, off-shore derivatives, with RMB Non-deliverable forwardsas a representive one, have gained a rapid development, which on one side provide tools forimporters, exporters and multinational corporation etc. to hedge exchange rate risk, on theother side exert a great impact on domestic foreign exchange markets. Both the spot andforward exchange markets are exchange rate pricing markets. However, due to its flexibleway of trading and lower cost, the forward exchange market often become the price discoverand guider, thus causing the concern that the spot maket will lose the pricing power of RMBexchange rate. Therefore, it is of great significance to research the interrelation between thespot market and NDF market. For regulators, this can help to make proper policies to makedomestic exchange markets develop healthily and constantly; for investors, this can help tohedge exchange risks and even earn profits with reasonable expectations.The interrelation between the spot market and NDF market mainly refers to the dynamicspillover of market information, including returns spillover effect and volatility spillovereffect, which repectively reflects the transmission of price and volatility between the twomarkets.Based on the theoretical analysis, the paper present the interaction mechanism andinfluencing factors of the spot and NDF markets. Then utilzing Granger causality andMA(1)-GARCH(1,1) model to extamine the interrelation between the two markets underdifferent economic situations and policies by four stages.The research shows that the exchange rate regime reform and financial controls greatlyinfluenced the interrelation between the two markets. From the aspect of returns spillovereffect, before the reform of exchange rate regime in2005, the spot maket was basically in theprice information center, but competed intensely with NDF market on the pricing power ofRMB. After the exchange rate reform, especially after the new round exchange rate reform in2010, the spot market has gradually achieved the RMB pricing power. From the aspect ofvolatility spillover effect, the spot market is the source of volatily and can significantly causepirce volatility in NDF market. The financial control policies can decrease the impact of NDFmarket to spot market. With financial deregulation, the spot market will be more vulnerable tothe volatility in NDF market, but regulators don t need to concen this too much. From theaspect of NDF contract duration, the shorter the NDF contract, the closer interrelationbetween the two markets. From the aspect of investors, participants of NDF short-termcontracts are mainly hedgers, while the long-term contracts participants are mainlyspeculators.In short, the empirical results show that after the new round exchange rate reform, thespot market has basically become the pricing center and volatility resource.更多还原