境内外人民币远期汇率信息传导关系的演变：一个实证分析  

An Empirical Study on the Evolution of Information Transmission between RMB’s Domestic and Overseas Forward Markets

作　　者：王曦[1] 郑雪峰[2] 

机构地区：[1]中山大学岭南学院 [2]中国人民银行东莞市中心支行

出　　处：《国际金融研究》2009年第11期45-54,共10页Studies of International Finance

基　　金：国家社科基金项目(08CJY064和06BJY115);全国优秀博士学位论文专项基金项目(200504)的资助

摘　　要：本文运用向量自回归模型(VAR),运用格兰杰因果关系检验、脉冲响应分析和方差分解方法,分4个时间段检验2006年9月至2008年6月境内外远期市场之间的信息传导关系的特征及其变化。研究结论是:人民币汇率形成机制有了比较明显的改善,境内人民币远期市场自2007年下半年起已经能够对境外市场的价格产生引导作用;境外影响境内的总体态势没有改变,人民币汇率形成机制改革依然任重道远;在境内金融市场尚不发达的情况下,适当的外汇管制可以为金融市场的完善争取时间,但外汇管制的长期效力减弱,应正确认识外汇管制的作用。By dividing the data from September 2006 to June 2008 to 4 separate periods, the paper examines the evolution of information transmission between RMB＇ s domestic and overseas forward markets. Various tests, performed respectively by applying the techniques of Vector Autoregressive technique, Granger causality test, impulse-response function and variance decomposition, show that obvious achievement has been made in improving the determinative mechanism of forward exchange rate in domestic RMB market. It is also concluded that NDF market retains its dominancy in RMB forward pricing, thus further reformation of domestic forward market is required accordingly. The rationale behind the results is also expatiated.

关 键 词：人民币 境内外远期汇率 信息传导 VAR模型 

分 类 号：F831[经济管理—金融学]