人民币NDF与人民币汇率失调关系的实证分析  

An Empirical Study of Relation between NDF and Disequilibrium of RMB Exchang Rate

作　　者：张陶伟[1] 杨金国[1] 

机构地区：[1]清华大学经济管理学院

出　　处：《国际金融研究》2005年第10期49-54,共6页Studies of International Finance

摘　　要：本文通过计量分析方法研究人民币NDF与人民币汇率失调的关系。研究发现,人民币NDF与理论远期汇率相偏离,反映了资本管制和市场预期;人民币NDF与基准汇率之差和人民币汇率失调程度存在内在而长期的一致关系;短期、随机和投机因素对人民币NDF价格的影响不大,总体上使得人民币更加被低估;人民币NDF市场比较理性。Based on econometrical method, this paper analyzes the relationship between NDF and misalignment of RMB. Analysis shows that NDF of RMB differs from the theoretical forward rate, and this reflects capital control and expectation; there is an internal and permanent equilibrium relationship between difference of NDF and central parity, and misalignment of RMB. In the short run, random and speculative effect upon NDF is small, and resulted in the overestimate of the underestimate range of RMB; NDF market of RMB is rational.

关 键 词：人民币NDF 汇率失调 BEER 协整 

分 类 号：F831[经济管理—金融学]