Empirical Study on Information Asymmetry Based on Chinese Forward Exchange Rate Market  

作　　者：Xi Wang Jiaohui Yang 

机构地区：[1]Lingnan College,Sun Yat-sen University

出　　处：《China & World Economy》2012年第4期74-91,共18页中国与世界经济（英文版）

基　　金：sponsored by the National Social Science Fund(11BJ022);the Guangdong Province Philosophy Social Science Planning Project(GD10CYJ02);the Guangdong High Level Talent Support Program(2011)

摘　　要：Many published studies have considered information asymmetry between domestic and foreign investors about local assets in the stock market, particularly in developed markets. The present study proposes a new perspective to address the issue in the case of China ＂s forward exchange rate market. Following the framework of Clarida and Taylor （1997）, the term structures of exchange rates in the domestic forward and the non-deliverable forward markets are constructed and then applied to predict future spot exchange rates based on a vector equilibrium correction model By comparing the forecast accuracy on the basis of the root mean square error and the mean absolute error, it is shown that dynamic out-of- sample forecasts of the domestic forward market are superior to those of the non-deliverable forward market, suggesting that domestic investors are better informed than foreign investors. The result has several important policy implications, especially for exchange rate determination.Many published studies have considered information asymmetry between domestic and foreign investors about local assets in the stock market, particularly in developed markets. The present study proposes a new perspective to address the issue in the case of China ＂s forward exchange rate market. Following the framework of Clarida and Taylor （1997）, the term structures of exchange rates in the domestic forward and the non-deliverable forward markets are constructed and then applied to predict future spot exchange rates based on a vector equilibrium correction model By comparing the forecast accuracy on the basis of the root mean square error and the mean absolute error, it is shown that dynamic out-of- sample forecasts of the domestic forward market are superior to those of the non-deliverable forward market, suggesting that domestic investors are better informed than foreign investors. The result has several important policy implications, especially for exchange rate determination.

关 键 词：domestic forward market forward exchange rate information asymmetry non- deliverable forward market term structure 

分 类 号：F832.52[经济管理—金融学] F224