银行间外汇市场的规模比较和因素分析  

Interbank FX market capacity and contributory factors

作　　者：雷电发[1] 

机构地区：[1]中国外汇交易中心研究部

出　　处：《中国货币市场》2012年第10期40-45,共6页China Money

摘　　要：该文将我国银行间外汇市场规模水平与新兴经济体比较，发现市场的“换手率”偏低，市场交易的功能并不十分突出。通过进一步探索，从实证的角度发现和证明人民币汇率的可交易性不强，表现为汇率本身的波动性不足、市场流动性与市场成交水平弱相关、市场参与者的交易存在同质化现象、头寸等管理制度对参与者的交易行为具有明显的约束。文章最后研究了发达市场上汇率的交易状态以资借鉴。The article compares China＇s interbank FX market capacity with other emerging economies and reveals that the turnover ratio of China＇s market is on the low side with a fair trading level. The article explores further and confirms by an empirical study that RMB exchange rate is not quite tradable, as seen from the lack of volatility in exchange rate, weak correlation between market liquidity and turnover, homogeneity in the participants＇ trading and strong restraints by the position management system on the trading activities of participants. The article also examines FX trading on the developed markets to use as a reference.

关 键 词：外汇市场换手率 汇率的可交易性 外汇资产交易 

分 类 号：F830.92[经济管理—金融学]