人民币即期汇率与NDF汇率之间的溢出效应——基于MA(1)-TARCH(1,1)模型的实证研究

Abstract

基于境内市场是离岸市场的信息中心假说,以及期货(远期)市场具有价格发现功能的理论基础,利用MA(1)-TArCH(1,1)模型对人民币即期汇率和离境ndf远期汇率各种交易品种之间的报酬和波动率的互动关系进行检验。实证结果表明,现汇价格的改革取得了成效,已体现了本土的信息中心优势作用,对离岸人民币ndf汇率产生了影响;离境ndf市场也发挥了价格的发现功能,对即期汇率有引导关系;此外,离境ndf市场对好坏消息反应的显著不对称性,反映了境外投资机构或贸易商对规避人民币风险的强烈需求。

Based on the domestic market is the information center hypothesis of offshore market,and futures(forward) market with a price discovery function of the theoretical basis,to use MA(1)-TARCH(1,1) model to test the interaction of the return and volatility between RMB spot exchange rate and the various transaction types of departure NDF forward exchange rate.The empirical results show that the reform of the spot price has achieved results,already reflected the local information center edge effect,has effect on the offshore RMB NDF exchange rate;departure NDF market also plays a price discovery function,has guiding relationship to the spot exchange rate;in addition,the significant asymmetry of departure NDF market to good and bad news reaction reflects the strong demand of foreign investment institutions or traders to avoid the risk of RMB.