境内外人民币即远期市场间联动与定价权归属
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摘要
以NDF为代表的境外人民币衍生品的发展与影响是目前我国外汇监管当局最关注的问题之一,伴随着国际金融一体化进程的加快及其程度的加深,我国境内即期人民币市场、境内远期人民币市场与境外人民币NDF市场以及其它人民币衍生品市场之间的关联性越来越紧密。特别是随着境内人民币远期市场的发展,境内外人民币即远期市场之间的主导权和定价权已日益成为关乎人民币汇率稳定和金融安全的热点话题和争论的焦点,进而如何正确理清人民币即期市场、境内远期市场以及境外NDF市场之间的联动关系以及定价权归属已成为投资者和监管者非常关心的问题。
本文在利率平价理论和有效市场理论的基础上,总结并梳理前人已有的研究成果和研究经验,应用了非平稳时间序列的单位根检验、协整检验,以及Granger因果检验和向量误差修正模型等传统计量经济学方法和模型,并引入较为复杂的时变条件相关多元GARCH模型构建了多维市场间的动态信息传导模型以及价格发现量化模型,对目前境内外人民币远期市场中交易相对活跃的四期合约样本数据,同时从线性和非线性的角度进行了深入的研究分析,全面揭示了目前境内外即远期市场间的动态信息传导机制以及价格发现机理的实现过程,研究发现：虽然境内即、远期市场存在对境外NDF市场的信息波动,但是由于境内市场的发展滞后以及存在一定程度的制度约束,境外NDF市场的价格引导力量明显强于即期市场和境内远期市场,处于市场价格信息的中心地位。最后基于对实证结论的探讨和相关影响因素的分析,以及澳大利亚和韩国NDF市场发展经验的借鉴,本文系统给出了完善我国境内人民币远期市场的政策建议,以及应对境外人民币NDF市场发展和挑战的具体措施。
总之,本文针对我国境内外人民币对美元即远期市场的实际情况,以人民币汇率的定价权归属为主线,从理论和实证相结合的角度对三个市场间关联关系进行了深入系统地研究,这无论是对外汇市场监管部门还是对外汇交易者,都将具有积极的理论价值与现实意义。
The development and influence of offshore RMB derivatives, with NDF as a representative one, is one of the most attended problems by State Administration of Foreign Exchange of China. As the rapid development of international integration of financial markets, the relationship among RMB spot market, onshore forward market, offshore NDF market and other derivatives markets is becoming closer more and more. Especially, along with the improvement of onshore spot and forward market, the leading right and pricing power or RMB exchange rate among the three markets is increasingly becoming the hot topic and debating focus about RMB exchange rate stability and financial security of China. How to disclose and understand the dynamic interrelation and pricing power ownership has been turned into the very concerned problem of investors and administrators.
Based on interest rate parity theory, efficient markets hypothesis, the achievements and empirical experience of the forerunners, the research roundly displays the actual dynamic information conduction process and the price discovery mechanism among the three markets by daily data of four more liquid contracts from linear and nonlinear point of views at the same time, using the unit roots test and co-integration test of non-stationary time series, Granger causality tests, vector error correction model, multivariate GARCH model, common factor model and information share model of price discovery and so on. The evidence suggests that although there are volatility spillover effects from the spot to the NDF market, owing to the restrictions of onshore markets the NDF market is the center of market price information and the most powerful in leading market price among the three markets. Further more, based on the discussion of the empirical findings and the analysis of the impact factors, together with the NDF experience of Australian and Korean as reference, related policy implications for the improvement of onshore forward market and reply strategies for the challenge of the offshore NDF market have been put forward.
In conclusion, taking the pricing power ownership of RMB exchange rate as the core, the dynamic interrelationships among three markets are systematically studied through academic and empirical methods according to the basic situations of development in onshore/offshore markets. There will be positive theoretic worth and practical significance for supervisory departments and trading makers.
本文在利率平价理论和有效市场理论的基础上,总结并梳理前人已有的研究成果和研究经验,应用了非平稳时间序列的单位根检验、协整检验,以及Granger因果检验和向量误差修正模型等传统计量经济学方法和模型,并引入较为复杂的时变条件相关多元GARCH模型构建了多维市场间的动态信息传导模型以及价格发现量化模型,对目前境内外人民币远期市场中交易相对活跃的四期合约样本数据,同时从线性和非线性的角度进行了深入的研究分析,全面揭示了目前境内外即远期市场间的动态信息传导机制以及价格发现机理的实现过程,研究发现：虽然境内即、远期市场存在对境外NDF市场的信息波动,但是由于境内市场的发展滞后以及存在一定程度的制度约束,境外NDF市场的价格引导力量明显强于即期市场和境内远期市场,处于市场价格信息的中心地位。最后基于对实证结论的探讨和相关影响因素的分析,以及澳大利亚和韩国NDF市场发展经验的借鉴,本文系统给出了完善我国境内人民币远期市场的政策建议,以及应对境外人民币NDF市场发展和挑战的具体措施。
总之,本文针对我国境内外人民币对美元即远期市场的实际情况,以人民币汇率的定价权归属为主线,从理论和实证相结合的角度对三个市场间关联关系进行了深入系统地研究,这无论是对外汇市场监管部门还是对外汇交易者,都将具有积极的理论价值与现实意义。
The development and influence of offshore RMB derivatives, with NDF as a representative one, is one of the most attended problems by State Administration of Foreign Exchange of China. As the rapid development of international integration of financial markets, the relationship among RMB spot market, onshore forward market, offshore NDF market and other derivatives markets is becoming closer more and more. Especially, along with the improvement of onshore spot and forward market, the leading right and pricing power or RMB exchange rate among the three markets is increasingly becoming the hot topic and debating focus about RMB exchange rate stability and financial security of China. How to disclose and understand the dynamic interrelation and pricing power ownership has been turned into the very concerned problem of investors and administrators.
Based on interest rate parity theory, efficient markets hypothesis, the achievements and empirical experience of the forerunners, the research roundly displays the actual dynamic information conduction process and the price discovery mechanism among the three markets by daily data of four more liquid contracts from linear and nonlinear point of views at the same time, using the unit roots test and co-integration test of non-stationary time series, Granger causality tests, vector error correction model, multivariate GARCH model, common factor model and information share model of price discovery and so on. The evidence suggests that although there are volatility spillover effects from the spot to the NDF market, owing to the restrictions of onshore markets the NDF market is the center of market price information and the most powerful in leading market price among the three markets. Further more, based on the discussion of the empirical findings and the analysis of the impact factors, together with the NDF experience of Australian and Korean as reference, related policy implications for the improvement of onshore forward market and reply strategies for the challenge of the offshore NDF market have been put forward.
In conclusion, taking the pricing power ownership of RMB exchange rate as the core, the dynamic interrelationships among three markets are systematically studied through academic and empirical methods according to the basic situations of development in onshore/offshore markets. There will be positive theoretic worth and practical significance for supervisory departments and trading makers.
引文
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