人民币汇率形成机制改革影响外汇市场定价效率的理论与实证分析  

Theoretical and Empirical Analysis of the Impact of Renminbi Exchange Rate Formation Mechanism Reform on the Efficiency of Foreign Exchange Market Pricing

作　　者：杨玲玲[1] 孙琪 赛月所亮 Yang Lingling;Sun Qi;Saiyue Suoliang

机构地区：[1]云南师范大学经济学院,云南昆明650500

出　　处：《上海金融》2024年第8期18-31,共14页Shanghai Finance

基　　金：国家社科基金“金融舆情影响下RCEP国家货币共振机制与风险防控研究”(项目编号:21XGJ002)。

摘　　要：本文研究2015年“8·11”汇改及相关的汇率定价机制政策调整对人民币外汇市场定价效率的影响。运用结构突变邹检验、事件研究法和DCC-GARCH模型进行实证检验后发现:一系列改革或政策事件有助于提高汇率价格的信息含量,对人民币远期外汇市场定价效率具有积极影响,其中“8·11”汇改的市场成效最显著,对不同到期期限的远期外汇市场定价效率都具有促进作用;改革和政策事件对外汇市场定价效率的影响存在期限结构差异,体现为更能促进较长到期期限的远期外汇市场定价效率提升;“8·11”汇以及其相关政策调整的成效具有持续释放特征,有助于缩小不同到期期限远期外汇市场间的定价效率差距。This paper studies the impact of the“8·11”exchange rate reform and related adjustments to the exchange rate pricing mechanism on the efficiency of the foreign exchange market pricing of the Renminbi in 2015.Using structural break tests,event studies,and DCC-GARCH models for empirical testing,the study finds that a series of reform or policy events has helped to enhance the information content of exchange rates and has had a positive impact on the pricing efficiency of the Renminbi forward foreign exchange market.Among these events,the market impact of the“8·11”exchange rate reform is the most significant,promoting pricing efficiency for different maturity periods of the Renminbi forward foreign exchange market.The impact of the reform or policy events on the pricing efficiency of the foreign exchange market varies with the maturity structure,with a greater ability to promote the improvement of the pricing efficiency of the longer-term maturity market.The market impact of the“8·11”exchange rate reform and related policy adjustments has a sustained release feature,helping to narrow the pricing efficiency gap between different maturity periods of the Renminbi forward foreign exchange market.

关 键 词：人民币汇率 汇率形成机制改革 外汇市场定价效率 

分 类 号：F832.63[经济管理—金融学]