信息传导与美元／人民币外汇掉期的定价  

Information Transmission and Pricing of USD/CNY FX Swaps

作　　者：郑葵方[1] 

机构地区：[1]中国建设银行博士后工作站

出　　处：《国际金融研究》2008年第11期68-74,共7页Studies of International Finance

基　　金：中国建设银行和中国博士后基金会资助项目(编号：20070420425)“人民币衍生产品的设计与定价”的阶段性成果。

摘　　要：人民币外汇衍生产品中,外汇掉期比远期具有更重要的市场地位,然而其在中国的理论定价却失效。从信息传导角度看,指示性合约对市场总体定价的影响更加突出。本文研究美元/人民币外汇掉期的指示性合约,创造性地构建合约影响因子指标,衡量各外汇掉期合约的市场影响力,进而发现3个月期合约是指示性合约。本文还确定了各合约的主要信息来源。文章研究成果可为投资者、监管层和政策制定者提供有价值的决策依据。FX swaps have more powerful market influences than forwards in foreign exchange contracts, yet the former＇s prices from Interest Rate Parity Theory don＇t work in China. Therefore the indicative contract plays a more important role on market＇s pricing from information transmission aspect. This paper studies information transmission between USD/CNY FX swap contracts to discover the indicative contract. By constructing creatively an impact factor, market influences of FX swap contracts on different maturities are measured. It＇ is found that the indicative contract＇s maturity is 3-months. Major information source of each swap contract is also discovered. The findings provide insights for investors, supervisors and policy makers.

关 键 词：人民币衍生产品 外汇掉期 信息传导 指示性合约 

分 类 号：F831[经济管理—金融学]