离岸和在岸人民币远期汇率的价格发现功能研究  

Research on the Price Discovery Function of Offshore and Onshore RMB Forward Exchange Rates

作　　者：汪明文[1] 朱钧钧[1] 

机构地区：[1]中国金融期货交易所外汇事业部

出　　处：《金融监管研究》2016年第1期23-42,共20页Financial Regulation Research

摘　　要：近期,人民币汇率波动加剧和离岸在岸价差持续难以收敛,引起了社会对离岸和在岸人民币远期汇率价格发现能力的关注。本文采用信息份额法和共同因子法研究了境内外三条人民币远期汇率曲线的价格发现能力,并从定量角度研究了多个汇率的影响关系。作为结论,本文发现,离岸市场已经占据人民币远期汇率主导的价格发现贡献度,并且这个结论对于不同的时期、不同的数据和不同的价格发现计算方法都具有较好的稳健性。本文建议,我国应该协调人民币资本账户开放和汇率市场化的时间表,并加快建设境内人民币外汇衍生品市场,特别是推出人民币外汇期货。Recently, the volatility of RMB exchange rates has rised and the spread between offshore and onshore yuan still exists, which brings the debate about the price discovery function of and among different RMB FX markets. This paper analyzes the price discovery between three RMB forward exchange rates, and shows that the offshore RMB market plays the dominate role of price discovery in RMB forward exchange rates. The result is robust in terms of different time zone, different data and price discovery calculation methods. Especially, offshore CNH deliverable forward market dominates the price discovery of short-term RMB forward exchange rates. In the end, we suggest strengthen and deepen the onshore RMB foreign exchange market, develop the RMB currency futures, and coordinate the RMB capital account liberalization and RMB exchange rate liberalization process

关 键 词：远期汇率 价格发现 信息份额法 共因子法 

分 类 号：F724.5[经济管理—产业经济]