基于发展视角的人民币外汇市场价格关系实证研究

doi:10.3969/j.issn.0253-2778.2017.03.007

中国科学技术大学学报 ›› 2017, Vol. 47 ›› Issue (3): 244-254.DOI: 10.3969/j.issn.0253-2778.2017.03.007

• 研究论文:管理科学与工程 • 上一篇下一篇

基于发展视角的人民币外汇市场价格关系实证研究

韦勇凤，许冬冬

中国科学技术大学管理学院，安徽合肥 230026

收稿日期:2015-10-13 修回日期:2016-02-05 接受日期:2016-02-05 出版日期:2023-03-27 发布日期:2016-02-05
通讯作者: 韦勇凤
作者简介:韦勇凤(通讯作者),女，1981年生，博士/讲师. 研究方向：风险管理与风险融资. E-mail: yfwei@ustc.edu.cn

Empirical research on price discovery in RMB foreign exchange markets from the perspective of development

WEI Yongfeng, XU Dongdong

School of Management, University of Science and Technology of China, Hefei 230026, China

Received:2015-10-13 Revised:2016-02-05 Accepted:2016-02-05 Online:2023-03-27 Published:2016-02-05

摘要/Abstract

摘要： 随着十年汇改逐步深入，境内外即期、境内外可交割远期和无本金交割远期5个市场之间的价格关系是如何发展变化的，是人民币国际化进程中值得研究的重要内容.通过协整、向量误差修正(vector error correction,VEC)模型及信息份额(information share,IS)模型，研究了这5个市场之间7个阶段的价格引导关系.结果表明，在离岸市场诞生之前NDF(non-deliverable forward)市场一直处于市场价格信息的中心地位，但随着政策的逐渐放松以及离岸市场的发展，境内外远期的价格发现能力不断增强，信息中心由NDF市场逐渐向离岸市场转移，因此可以合理预期离岸市场的价格决定功能将起主要作用.

关键词: 人民币外汇市场, 离岸市场, 向量误差修正, 信息份额, 价格发现

Abstract: RMB exchange rate reformation has been deepening over the past decade. During this RMB internationalization process, one of the most important research issues is how the price relationship has been developing among the onshore spot market, onshore forward market, offshore spot market, offshore forward market and non-deliverable forward market. Based on the co-integration, vector error correction (VEC) model and information share (IS) model, price discovery mechanism among these five markets of seven periods was studied. The result shows that non-deliverable forward (NDF) market has greater price discovery ability before the emergence of the offshore market. However, as the result of easing policies and the development of the offshore market, the centrality of market price information is gradually transferred from the non-deliverable forward market to the offshore market. It is expected that the offshore market will play the main role in the price discovery mechanism.

Key words: RMB exchange rate market, offshore market, vector error correction, information share, price discovery

中图分类号:

韦勇凤, 许冬冬. 基于发展视角的人民币外汇市场价格关系实证研究[J]. 中国科学技术大学学报, 2017, 47(3): 244-254.

WEI Yongfeng, XU Dongdong. Empirical research on price discovery in RMB foreign exchange markets from the perspective of development[J]. Journal of University of Science and Technology of China, 2017, 47(3): 244-254.

参考文献

[1] 代幼渝, 杨莹. 人民币境外NDF汇率、境内远期汇率与即期汇率的关系的实证研究[J]. 国际金融研究, 2007(10): 72-80.
DAI Youyu, YANG Ying. Empirical research on the relationships of RMB onshore spot, forward and NDF markets[J]. Studies of International Finance, 2007(10): 72-80.
[2] 徐剑刚, 李治国, 张晓蓉. 人民币NDF与即期汇率的动态关联性研究 [J]. 财经研究, 2007(09): 61-68.
XU Jiangang, LI Zhiguo, ZHANG Xiaorong. Research on dynamics of the RMB spot and NDF [J]. Journal of Finance and Economics, 2007(09): 61-68.
[3] YAN Min, BA Shusong. Who does the pricing of forward markets belong to: An empirical research and policy inspiration [J]. Economic Science, 2010(01): 72-84.
[4] 贺晓博. 境外人民币NDF和境内人民币掉期之间关系的实证研究 [J]. 国际金融研究, 2009(06): 90-96.
HE Xiaobo. Empirical research on the relationships of RMB offshore NDF and onshore swaps [J]. Studies of International Finance, 2009(6): 90-96.
[5] 李娜, 朱弘鑫. 在岸即期汇率市场与离岸CNH远期、NDF三者交易逻辑及价格发现的实证研究 [J]. 中国外资, 2013(8): 24-26.
LI Na, ZHU Hongxin. Empirical research on price discovery between onshore spot, offshore forward and NDF markets [J]. Foreign Investment in China, 2013(8):24-26.
[6] 张喜玲. 离岸与在岸人民币汇率动态关联：基于CNH、CNY、DF和NDF市场的实证分析 [J]. 西南金融, 2014(02): 36-39.
ZHANG Xiling. Dynamics in the onshore and offshore RMB exchange rate markets: Based on empirical research on CNH, CNY, DF and NDF [J]. Southwest Finance, 2014(02): 36-39.
[7] COLAVECCHIO R, FUNKE M. Volatility transmissions between Renminbi and Asia-Pacific onshore and offshore U.S. dollar futures [J]. China Economic Review, 2008, 19(4): 635-648.
[8] HE D, CHEUNG L, ZHANG W, et al. How would capital account liberalization affect Chinas capital flows and the renminbi real exchange rates? [J]. China & World Economy, 2012, 20(6): 29-54.
[9] PARK J. Information flows between non-deliverable forward (NDF) and spot markets: Evidence from Korean currency [J]. Pacific-Basin Finance Journal, 2001, 9(4): 363-377.
[10] WANG K L, FAWSON C, Chen M L, et al. Characterizing information flows among spot, deliverable forward and non-deliverable forward exchange rate markets: A cross-country comparison [J]. Pacific-Basin Finance Journal, 2014, 27: 115-137.
[11] GU L, MCNELIS P D. Yen/Dollar volatility and Chinese fear of floating: Pressures from the NDF market [J]. Pacific-Basin Finance Journal, 2013, 22: 37-49.
[12] WANG Xi, ZHENG Xuefeng. Development of information transduction between onshore and offshore forward markets [J]. Studies of International Finance, 2009(11): 45-54.
[13] HASBROUCK J. One security, many markets: Determining the contributions to price discovery [J]. Journal of Finance, 1995, 50: 1 175-1 199.
[14] EUN C S, SABHERWAL S. Cross-border listings and price discovery: Evidence from U.S.-listed Canadian stocks [J]. The Journal of Finance, 2003, 58(2): 549-576.
[15] FIGUEROLA-FERRETTI I, GILBERT G L. Price discovery in the aluminum market [J]. The Journal of Futures Markets, 2005, 25(10): 967-98.
[16] LUTKEPOHL H, POSKITT D S. Estimating orthogonal impulse responses via vector autoregressive models[J]. Econometric Theory, 1991, 7(4): 487-496.
[17] CALLEN J L, LUKE M W, KWAN C C Y. Spot and forward exchange rates: A causality analysis [J]. Journal of Business Finance and Accounting, 1989, 16(l): 105-118.
[18] HE Xiaobo, ZHANG Xiaomei. Empirical research on price discovery of RMB onshore and offshore exchange rate [J]. Studies of International Finance, 2012(6): 58-66.
[19] 伍戈, 裴诚. 境内外人民币汇率价格关系的定量研究[J]. 金融研究, 2012(09): 62-73.
WU Ge, PEI Cheng. Quantitative research of onshore and offshore RMB exchange rate markets price relationships[J]. Journal of Financial Research, 2012(9): 62-73.
[20] FUNKE M, GRONWALD M. The undisclosed renminbi basket: Are the markets telling us something about where the renminbi-US dollar exchange rate is going? [J]. The World Economy, 2008, 31(12): 1 581-1 598.
[21] CHEUNG Y W, RIME D. The offshore renminbi exchange rate: Microstructure and links to the onshore market[J]. Journal of International Money and Finance, 2014, 49: 170-189.

基于发展视角的人民币外汇市场价格关系实证研究

Empirical research on price discovery in RMB foreign exchange markets from the perspective of development

PDF (PC)

可视化

摘要/Abstract

引用本文

使用本文

参考文献

相关文章 15

编辑推荐

Metrics

本文评价

[1]	鲁炜, 刘玲. 基于Logit模型的理财产品募集达标率研究[J]. 中国科学技术大学学报, 2017, 47(3): 231-235.
[2]	刘刚, 崔振嵛, 刘彦初, 谢金贵. Lévy过程下金融期权风险对冲参数的模拟仿真估计[J]. 中国科学技术大学学报, 2017, 47(3): 262-266.
[3]	潘婉彬, 熊欣慰. 金融危机期间黄金价格与汇率的联动性[J]. 中国科学技术大学学报, 2017, 47(9): 778-787.
[4]	张勔, 程希骏, 方正, 郭键鸿, 刘峰. 基于pair copula-LMSV-t模型的投资组合风险研究[J]. 中国科学技术大学学报, 2015, 45(12): 1024-1029.
[5]	朱业春, 曹崇延. 基于熵补偿的Black-Litterman模型的投资组合[J]. 中国科学技术大学学报, 2015, 45(12): 1030-1035.
[6]	王雨辰, 钱元辰. 市场对要约收购的反应:来自中国的证据[J]. 中国科学技术大学学报, 2021, 51(12): 894-911.
[7]	王雨辰, 蔡经纬. 沪港通对中国市场效率的影响[J]. 中国科学技术大学学报, 2021, 51(9): 699-716.
[8]	盖伟, 胡杰. 网络向量自回归模型在波动性溢出分析中的应用[J]. 中国科学技术大学学报, 2021, 51(6): 468-474.
[9]	张萍, 王雅实, 吴钦宇. 应用CoGVaR方法度量系统风险贡献[J]. 中国科学技术大学学报, 2021, 51(6): 475-484.
[10]	黎明, 温灿红. 通过稀疏PCA分析新冠疫情对股市的影响[J]. 中国科学技术大学学报, 2021, 51(5): 404-418.
[11]	何雨, 吴越, 郑泽敏∗, 吴捷∗ . 运用双尺度分布最近邻估计对公司盈利能力作异质性因果推断 [J]. 中国科学技术大学学报, 2020, 50(12): 1488-1497.
[12]	孟徐然，毕秀春，张曙光. 基于生成对抗网络的高频算法及其回测研究[J]. 中国科学技术大学学报, 2020, 50(6): 801-810.
[13]	张志远，叶五一. 基于MIDAS-Expectile回归模型的加密货币风险测度[J]. 中国科学技术大学学报, 2020, 50(6): 860-872.
[14]	叶五一，丁雅霖，焦守坤. 基于TV-Copula-X模型的金砖国家股指收益率与波动率的动态相依关系[J]. 中国科学技术大学学报, 2020, 50(5): 612-628.
[15]	叶五一，李伊薇，吴遵. 基于尾部指数回归的动态系统性尾部风险度量[J]. 中国科学技术大学学报, 2020, 50(2): 176-184.