人民币远期外汇市场的有效性检验——基于半参数估计方法  

Testing the Efficiency in the Forward Exchange Market of RMB——A Semiparametric Approach

作　　者：田凤平[1] 李仲飞[2] 刘京军[2] 

机构地区：[1]中山大学国际商学院,广东珠海519082 [2]中山大学岭南学院,广东广州510275

出　　处：《山西财经大学学报》2011年第3期33-40,共8页Journal of Shanxi University of Finance and Economics

基　　金：国家社会科学基金项目(08CJY064);国家杰出青年科学基金项目(70825002);中山大学优秀研究生导师逸仙创新人才培养计划项目

摘　　要：利用OLS估计方法和半参数的适应性估计方法分别对2005年8月1日至2008年12月31日期间美元/人民币、欧元/人民币、日元/人民币4个不同期限远期外汇市场的有效性进行了考察,结果表明,适应性估计结果和OLS估计结果相差较大,半参数适应性估计量较OLS估计量更有效。此外发现,各远期外汇市场的有效性假设均不成立,但原因各不相同。In this paper,the authors investigate the foreign exchange market efficiency of three currencies（each expressed in terms of RMB）： the U.S.dollars（USD/RMB）,the Japanese yen（JPY/RMB）,and the European euro（EUR/RMB） from Auguest 1st 2005 to December 31st 2008 by OSL and semi-parametric test.The paper tests the unbiasedness hypothesis on four different maturity exchange rate data and strongly reject null hypothesis at all horizon.Take account of the non-normality of exchange rate data and the cointegration between variables,the authors not only use the least squares method to estimate each equation but also apply semiparametric estimation procedures for a seemingly unrelated regression model.The empirical results implies that estimates of the semiparametric procedure differ substantially from the OLS estimates,the adaptive estimates are more efficiently than OLS,but all the results of unbiased tests indicate that the null hypothesis is strongly rejected.

关 键 词：人民币远期外汇市场 有效性检验 半参数方法 正态性检验 

分 类 号：F832.5[经济管理—金融学]