人民币即期汇率市场与境外衍生市场之间的信息流动关系研究
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摘要
关于人民币国际化战略的话题是近期国内理论界和实务界极为关注的一个热点,人民币国际化的前提之一是资本项目的完全开放和人民币的可自由兑换,这意味我国外汇市场遭受外部冲击的可能性将变大,人民币汇率的定价权将会受到更多外部因素的挑战,我们不禁疑问:当前我国的外汇市场体系是否已经具备了人民币国际化的条件?我国境内外汇市场与境外衍生品市场的力量对比如何?基于当前的状况,人民币国际化后是否会带来人民币汇率定价权“旁落于他人”的风险?这一切的答案,亟需我们深入研究人民币境内外汇市场与境外衍生市场之间的信息流动关系之后才能得到回答。同时,研究此议题,可以为投资者的套期保值和监管者的政策制定提供有价值的指导。
目前国内学者们已在此领域做了不少的研究,但是他们的研究尚未涉及境外人民币期货市场,因此本文在以前学者研究的基础上,从以下两个方面作进一步的研究:第一、研究人民币期货市场是否有能力引导即期汇率市场的价格变动,境外人民币期货的引入是否对境内即期汇率市场的稳定性产生影响;第二、研究在人民币期货市场、境外NDF市场与即期市场中哪个市场处于价格信息中心的地位。
除导论之外,本文的结构安排是:第一章、对我国各外汇市场的发展进行回顾与评述,从而为后续的理论分析和实证研究提供现实背景的铺垫;第二章、从理论上分析外汇即期市场与衍生市场间的信息流动关系,为后续的实证研究提供理论基础;第三章、介绍本文实证所采用的实证方法与模型;第四章、本文的实证结果与结论;第五章、总结以及相应的政策建议。
Recently RMB's internationalization is one of the hot topics in China.As we know,its' premise is the complete opening of China's Capital Account and RMB's unrestrained exchange,which means that the possibility that China's currency market suffers from the external shock will be increasing,and China's RMB pricing power will be challenged by more external factors meanwhile.So we can't help questioning that whether China's currency market is qualified for RMB's internationalization, what about China's on-shore currency market power compared with off-shore RMB derivatives market,and whether RMB's internationalization right now will cause China's losing RMB pricing power.These questions' answers should resort to the thorough study of the information flows between China's on-shore currency market and off-shore RMB derivatives market,which will provide with guidance the investor's hedging and the Regulator's policy-making as well.
There are a large quantities of literature concerning about this subject,which however have not touched upon off-shore RMB futures market.Thus basing on the current literature,this dissertation tries to futher the study on this topic from the following prospectives:one is to study whether RMB futures market has the capability of leading RMB spot rate's tendency and whether it has affect RMB spot market's stability after its' introduction,the other one is to study which is the market price information centre among RMB spot,futures and NDF market.
This dissertation includes five parts:
Chapter One reviews the development of each China currency market to render background for the following theoretical analysis and empirical study.
Chapter Two proves the information flows relationship between currency spot market and derivatives market,providing the following empirical study with theoretical guidance.
Chapter Three introduces the empirical analysis methods and models used in this dissertation.
Chapter Four introduces this dissertation's empirical result.
Chapter Five makes conclusions and some corresponding proposals as logical end of this dissertation.
目前国内学者们已在此领域做了不少的研究,但是他们的研究尚未涉及境外人民币期货市场,因此本文在以前学者研究的基础上,从以下两个方面作进一步的研究:第一、研究人民币期货市场是否有能力引导即期汇率市场的价格变动,境外人民币期货的引入是否对境内即期汇率市场的稳定性产生影响;第二、研究在人民币期货市场、境外NDF市场与即期市场中哪个市场处于价格信息中心的地位。
除导论之外,本文的结构安排是:第一章、对我国各外汇市场的发展进行回顾与评述,从而为后续的理论分析和实证研究提供现实背景的铺垫;第二章、从理论上分析外汇即期市场与衍生市场间的信息流动关系,为后续的实证研究提供理论基础;第三章、介绍本文实证所采用的实证方法与模型;第四章、本文的实证结果与结论;第五章、总结以及相应的政策建议。
Recently RMB's internationalization is one of the hot topics in China.As we know,its' premise is the complete opening of China's Capital Account and RMB's unrestrained exchange,which means that the possibility that China's currency market suffers from the external shock will be increasing,and China's RMB pricing power will be challenged by more external factors meanwhile.So we can't help questioning that whether China's currency market is qualified for RMB's internationalization, what about China's on-shore currency market power compared with off-shore RMB derivatives market,and whether RMB's internationalization right now will cause China's losing RMB pricing power.These questions' answers should resort to the thorough study of the information flows between China's on-shore currency market and off-shore RMB derivatives market,which will provide with guidance the investor's hedging and the Regulator's policy-making as well.
There are a large quantities of literature concerning about this subject,which however have not touched upon off-shore RMB futures market.Thus basing on the current literature,this dissertation tries to futher the study on this topic from the following prospectives:one is to study whether RMB futures market has the capability of leading RMB spot rate's tendency and whether it has affect RMB spot market's stability after its' introduction,the other one is to study which is the market price information centre among RMB spot,futures and NDF market.
This dissertation includes five parts:
Chapter One reviews the development of each China currency market to render background for the following theoretical analysis and empirical study.
Chapter Two proves the information flows relationship between currency spot market and derivatives market,providing the following empirical study with theoretical guidance.
Chapter Three introduces the empirical analysis methods and models used in this dissertation.
Chapter Four introduces this dissertation's empirical result.
Chapter Five makes conclusions and some corresponding proposals as logical end of this dissertation.
引文
[1]Clifton,Eric,"The Currency Futures Market and Interbank Foreign Exchange Trading",Journal of Futures Market[J],1995,5:375-384.
[2]Jabbour,George M.,"Prediction of Future Currency Exchange Rates from Current Currency Futures Prices:The Case of GM and JY"[J],Journal of Futures Markets,1994,14:25-36.
[3]Crain,Susan J.,and Jae-Ha Lee,"Intraday Volatility in Interest Rate and Foreign Exchange Spot and Futures Markets"[J],Journal of Futures Markets,1995,15:395-421.
[4]Chatrath,Arjun,Sanjay Ramchander and Frank Song,"The Role of Futures Trading Activity in Exchange Rate Volatility"[J],Journal of Futures Marktes,1996,16:561-584.
[5]Christian Jochum and Laura Kodres,"Does the Introduction of Futures on Emerging Market Currencies Destabilize the Underlying Currencies?"Working papers,International Monetary Fund,1998.
[6]John M Sequeira,McAlleer and Chow Ying Foon,"Efficient Estimation and Testing of Alternative Models of Currency Futures Contracts"[J],2001,77:270-282.
[7]Jinwoo Park,"Information Flows between Non-deliverable Forward(NDF) and Spot Markets:Evidence from Korean Currency"[J],Pacific-Basin Fincane Jouranl,2001,9:363-377.
[8]黄学军、吴冲锋,《离岸人民币非交割远期与境内即期汇率价格的互动:改革前后》[J],金融研究,2006,第11期,第83-89页.
[9]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,第9期,第72-80页.
[10]罗鹏宇,《人民币远期:境外决定境内》[N],中国证券报,2007年6月12日期,第A11版.
[11]徐剑刚、李治国、张晓蓉,《人民币NDF与即期汇率的动态关系研究》[J],财经研究,2007,第9期,第61-68页.
[12]魏英辉,《行为金融视角下的汇率波动特征研究》[D],厦门大学博士论文,2009,第66-71页.
[13]余永定,《人民币汇率制度改革的历史性一步》[J],世界经济与政治,2005,第10期
[14]陈蓉,《期货价格能否预测现货价格》[J],国际金融研究,2007,第9期,第70-74页.
[15]John C.Hull,"Options,Futures,and other Derivatives"[M],Prentice Hall.1993.
[16]赵留彦、王一鸣,《A、B股之间的信息流动与波动溢出》[J],金融研究,2003,第10期,第37-52页.
[17]Robert F.Engle,and Sheppard," Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH ",NBER working papers,2001,No 8554.
[18]赵华,《人民币汇率与利率之间的价格和波动溢出效应研究》[J],金融研究,2007,第3期,第41-49页.
[19]Robert F.Engle,Kenneth F.Kroner,"Multivarite Simultaneous Generalized Arch "[J],Econometric Theory,1995,11:122-150.
[20]James D.Hamliton,Raul Susmel,"Autoregressive conditional heteroskedasticity and changes in regime"[J],Journal of Econometrics,1994,64:307-333
[2]Jabbour,George M.,"Prediction of Future Currency Exchange Rates from Current Currency Futures Prices:The Case of GM and JY"[J],Journal of Futures Markets,1994,14:25-36.
[3]Crain,Susan J.,and Jae-Ha Lee,"Intraday Volatility in Interest Rate and Foreign Exchange Spot and Futures Markets"[J],Journal of Futures Markets,1995,15:395-421.
[4]Chatrath,Arjun,Sanjay Ramchander and Frank Song,"The Role of Futures Trading Activity in Exchange Rate Volatility"[J],Journal of Futures Marktes,1996,16:561-584.
[5]Christian Jochum and Laura Kodres,"Does the Introduction of Futures on Emerging Market Currencies Destabilize the Underlying Currencies?"Working papers,International Monetary Fund,1998.
[6]John M Sequeira,McAlleer and Chow Ying Foon,"Efficient Estimation and Testing of Alternative Models of Currency Futures Contracts"[J],2001,77:270-282.
[7]Jinwoo Park,"Information Flows between Non-deliverable Forward(NDF) and Spot Markets:Evidence from Korean Currency"[J],Pacific-Basin Fincane Jouranl,2001,9:363-377.
[8]黄学军、吴冲锋,《离岸人民币非交割远期与境内即期汇率价格的互动:改革前后》[J],金融研究,2006,第11期,第83-89页.
[9]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,第9期,第72-80页.
[10]罗鹏宇,《人民币远期:境外决定境内》[N],中国证券报,2007年6月12日期,第A11版.
[11]徐剑刚、李治国、张晓蓉,《人民币NDF与即期汇率的动态关系研究》[J],财经研究,2007,第9期,第61-68页.
[12]魏英辉,《行为金融视角下的汇率波动特征研究》[D],厦门大学博士论文,2009,第66-71页.
[13]余永定,《人民币汇率制度改革的历史性一步》[J],世界经济与政治,2005,第10期
[14]陈蓉,《期货价格能否预测现货价格》[J],国际金融研究,2007,第9期,第70-74页.
[15]John C.Hull,"Options,Futures,and other Derivatives"[M],Prentice Hall.1993.
[16]赵留彦、王一鸣,《A、B股之间的信息流动与波动溢出》[J],金融研究,2003,第10期,第37-52页.
[17]Robert F.Engle,and Sheppard," Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH ",NBER working papers,2001,No 8554.
[18]赵华,《人民币汇率与利率之间的价格和波动溢出效应研究》[J],金融研究,2007,第3期,第41-49页.
[19]Robert F.Engle,Kenneth F.Kroner,"Multivarite Simultaneous Generalized Arch "[J],Econometric Theory,1995,11:122-150.
[20]James D.Hamliton,Raul Susmel,"Autoregressive conditional heteroskedasticity and changes in regime"[J],Journal of Econometrics,1994,64:307-333