关于人民币远期定价权问题的研究  

Research on Pricing Right Determination of Forwards of RMB

作　　者：彭红枫[1] 胡利琴[1] 

机构地区：[1]武汉大学经济与管理学院,湖北武汉430072

出　　处：《经济管理》2007年第20期28-33,共6页Business and Management Journal ( BMJ )

基　　金：国家自然科学基金"境外人民币衍生品市场对人民币汇率定价权的影响研究"(70541004);武汉大学国家"985"创新基地项目子课题"金融产品创新在中国的本土化和竞争研究"。

摘　　要：本文通过静态及动态的两类模型对人民币远期定价权问题进行了研究。结果表明,我国人民币远期市场尚未摆脱境外NDF市场的影响,NDF市场仍是影响人民币远期定价的主要因素。而2005年8月以来我国外汇市场推出的各项改革措施,使得基于利率平价的定价机制开始在人民币利率的决定中发生作用;我国人民币远期市场定价机制尚未实现从基于预期的定价机制向利率平价的转变,我国银行间人民币远期市场尚未掌握人民币远期定价的主导权,但基于利率平价的人民币远期定价机制在人民币远期定价中所起的作用越来越显著。在此基础上,本文提出了相应的政策建议。Pricing right of Forwards of RMB becomes a question of common interests both in theory and practice with all kinds of RMB derivatives promoted by various countries and districts around the world. In this dissertation, pricing right determination of Futures of RMB is researched in both static and dynamic models. The result indicates that the domestic Forward market of RMB is still under the influence of NDF abroad. The market of NDF is still a chief factor which affects the pricing of Forwards of RMB. After the reform of the exchange market of China at August 2005, the pricing mechanism based on interest rate parity start to work in deciding the exchange rates of RMB. On the other hand, the basis of pricing mechanism of the Forward market of RMB hasn＇ t transformed from expectations to interest rate parity yet, and the Forward market among banks in China hasn＇t got the leading right in the pricing of Forwards of RMB. But the pricing mechanism of Forwards of RMB based on interest rate parity plays an increasingly significant role in the pricing of Forwards of RMB. Suggestions of corresponding policy are presented based on the results.

关 键 词：定价权 人民币汇率 无本金交割远期 利率平价 

分 类 号：F830[经济管理—金融学]