人民币汇率市场情绪指标有效性几何?  

How Effective is RMB Market Sentiment Indicator?

作　　者：戴朝盛 马燕 周骥 王映 

机构地区：[1]南华期货研究所

出　　处：《中国货币市场》2020年第10期43-46,共4页China Money

摘　　要：目前,金融市场上衡量人民币汇率预期的指标主要有三个,分别是在岸与离岸价差(CNY-CNH) 、风险逆转期权以及人民币NDF。三种指标从不同角度刻画了投资者的预期。三者有时候趋向一致,有时候也会呈现一定的分化,该文逐一验证上述情绪指标的有效性。综合来看,CNY-CNH价差的准确性相对更高。At present,there are three major indicators for RMB exchange rate expectations in the financial market,namely,the CNY-CNH spread,risk reversal options,and RMB NDF,which depict investor expectations from different angles.Sometimes they reach the same prediction while other times present a certain degree of differentiation.This article verifies the effectiveness of the above sentiment indicators on a case-by-case basis and concludes that the CNY-CNH spread has an overall better accuracy.

关 键 词：离岸价 情绪指标 金融市场 价差 期权 人民币NDF CNH 人民币汇率预期 

分 类 号：F832.6[经济管理—金融学]