【作者】 陈蓉； 郑振龙；

【Author】 Rong CHEN;Zhenlong ZHENG;Department of Finance,Xiamen University;

【机构】 厦门大学金融系；

【摘要】 本文运用多种计量方法对人民币DF和NDF市场上不同到期期限的美元/人民币远期汇率定价偏差中所隐含的信息进行了研究。首先,循序单位根检验的结果表明样本期内的人民币远期汇率定价偏差序列为存在均值突变和趋势突变的非平稳过程,NDF市场的定价偏误对DF市场具有引领作用。而后,本文基于金融工程的基本模型对美元/人民币汇率定价偏差进行了分解和实证检验,协整检验、向量误差修正模型和Granger因果检验的结果表明决定人民币远期汇率的不是利率平价而是预期与风险溢酬,市场参与者对未来人民币汇率走向的预期主要体现为适应性预期,同时远期汇率定价偏差还含有对预测近期美元/人民币即期汇率有用的信息。此外,本文还发现对外国投资者而言,人民币作为一种资产,其风险溢酬为正。更多还原

【Abstract】 This paper investigates the information implied by the mispricing of USD/RMB forward rates with different maturities in RMB DF and NDF markets. First, the results of sequential unit root tests show that all the mispricing series in our sample are non-stationary processes with mean shifts and trend shifts. Results of cointegration tests illustrate that NDF market leads DF market in the change of the mispricing of forward rates. Next some financial models and econometrics techniques such as cointegration, VEC and Granger Causality test are employed to separate and extract information from the mispricing of USD/RMB forward rates. We find it is not interest rate parity but expectations(especially adaptive expectations) and currency risk premiums that decide USD\RMB forward rates. Meanwhile,there is some useful information to predict USD/RMB spot rates in next few days in the mispricing of forward rates. In addition, we find that for global investors, the risk premium of RMB is positive.更多还原