人民币即期汇率与NDF汇率关系的实证分析  

Empirical Analysis of the Relationship Between RMB Spot and Non-deliverable Forward(NDF) Exchange Rate

作　　者：王慧[1,2] 符亚明[2] 

机构地区：[1]中国社会科学院世界经济与政治研究所,北京100732 [2]北京联合大学商务学院,北京100025

出　　处：《经济问题》2009年第4期76-78,共3页On Economic Problems

摘　　要：以人民币即期汇率与NDF汇率为例研究境内市场与境外市场的信息传递。主要利用GARCH模型描述人民币即期汇率与NDF的变动并检验人民币即期汇率与NDF之间的均值溢出效应和波动溢出效应。得到的主要结论为,人民币NDF市场对人民币即期汇率市场有均值溢出效应,人民币即期汇率和NDF之间有双向波动溢出效应。这表明信息流由境外市场传导至境内市场,人民币即期汇率市场受到境外市场因素的影响,境外人民币NDF市场是境内即期市场的先导。This paper investigates the interrelation and information flows between the CNY - USD spot and offshore, i.e., NDF, markets. We use GARCH model to describe the daily changes of the spot and NDF rates and to formulate the spillover effects in conditional mean and volatility between the spot and NDF markets. The results show that there is a mean spillover effect from the NDF market to the spot market and not the other way round, and that a volatility spillover effect exists in both directions. This means information in the offshore market is transmitted to the domestic currency market and the forward market serves an important price discovery role. This also means the domestic financial markets are influenced by the offshore markets.

关 键 词：即期汇率 无本金交割远期 GARCH模型 溢出效应 

分 类 号：F83[经济管理—金融学]