NDF监管政策对境内外人民币远期市场联动效应的影响研究  

A Study on the NDF Regulation Policy' s Influence to the Interaction between Onshore and Offshore RMB Forward Market

作　　者：刘春霞[1] 洪丽[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》2008年第12期69-73,共5页Business and Management Journal ( BMJ )

基　　金：教育部哲学社会科学研究后期资助项目2007年度重大项目(07JHQ0003)。

摘　　要：研究境内外人民币远期市场间的联动效应,对发展和监管人民币衍生市场控制风险具有重要意义。本文实证检验了境内外人民币远期市场之间的联动效应,发现在禁止境内机构参与离岸人民币无本金交割远期(NDF)的通知颁布后,3个月期人民币境内本金交割远期(DF)汇率不再是3个月人民币NDF汇率的Granger原因,而3个月的NDF汇率依然引导3个月的DF汇率。本文分析了这一NDF监管政策对境内外人民币远期价格间相互关系的影响以及内在原因。It＇s important to study the interaction between onshore and offshore RMB forward market, because it can help us to develop and regulate the RMB derivatives market steadily. The paper studies empirically the interaction between onshore and offshore RMB forward market .It is shown that after the State Administration of Foreign Exchange forbad domestic institutions from quoting on off-shore NDF（Non- deliverable Forward） market, the 3 month DF（Domestic Forward） does ＇t granger cause the 3 month NDF any more ,while the 3 month NDF still granger causes the 3 DF. We examine how the NDF regulation policy influences the interaction between onshore and offshore market.

关 键 词：NDF监管政策 联动效应 人民币远期市场 

分 类 号：F830.9[经济管理—金融学]