利率平价对人民币远期定价影响的实证分析  

An Empirical Analysis of the Impact That Interest Rate Parity on Forward Pricing of RMB

作　　者：胡炳志[1] 张腾[2] 

机构地区：[1]武汉大学社会保障研究中心,武汉430000 [2]武汉大学经济与管理学院,武汉430000

出　　处：《统计与决策》2017年第2期156-159,共4页Statistics & Decision

摘　　要：人民币远期价格与人民币汇率之间有着十分紧密的联系,在完全的利率市场化这一假设前提下,人民币远期价格与根据利率平价原理得出的理论远期价格应该完全相同,因此在我国的汇率改革进程中,利率平价对人民币远期的定价影响应该慢慢加强。文章通过收集2009年1月至2016年8月期间人民币远期价格、人民币汇率和利率等相关数据,使用静态和动态相结合的方法进行分析,得出在不同的期限中,利率平价机制是怎样对人民币远期价格产生影响的。In the period of 2006 to 20016, the market reforms of China＇ s interest rate has been carried out continuously and deep- en. In China, the upper and lower limits of deposits and loans interest rate has been canceled, which makes the interest rate mar- ket reforms further promoted. The forward price and exchange rate of RMB is closely related to each other, in the full interest rate market-oriented premise, the forward price of RMB should be exactly the same to forward price which is calculated by Interest rate parity principle, therefore, in the process of China＇ s interest rate market reforms, the influence that Interest rate parity princi- ple to the forward price of RMB should be deeper and deeper. This paper collected the data of forward price of RMB, the exchange rate of RMB and the interest rate in January 2009 to August 2016 and carried out the analysis both in static and dynamic, which comes to the conclusion that how Interest rate parity principle will influence the forward price of RMB.

关 键 词：利率市场化 人民币远期 利率平价 汇率改革 

分 类 号：F822[经济管理—财政学]