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dc.contributor.author陈蓉
dc.contributor.author郑振龙
dc.contributor.author龚继海
dc.date.accessioned2013-01-07T03:40:32Z
dc.date.available2013-01-07T03:40:32Z
dc.date.issued2009-06
dc.identifier.citation国际金融研究,2009(6):79-89zh_CN
dc.identifier.issn1006-1029
dc.identifier.urihttps://dspace.xmu.edu.cn/handle/2288/14413
dc.description.abstract本文针对人民币和韩圆分别考察了不完全关闭NDF、关闭NDF、不完全开放NDF和开放NDF背景下SPOT、DF和NDF市场之间的互动关系和信息流动特征,对不同开放背景下货币当局的政策效果和影响进行了实证研究。DCC-GARCH的研究结果表明:开放NDF市场会促进SPOT、DF和NDF三个市场之间的一体化程度,但同时也意味着波动的相关性大大提高,且NDF市场通常为波动来源,同时会在一定程度上降低央行干预的有效性。在DF市场尚不发达的情况下关闭NDF市场,可能会有利于DF市场的发展,减少NDF在汇率定价中的影响力。 This paper investigates the interrelation and information flows among currency spot,deliverable forward(DF) and non-deliverable forward(NDF) markets as well as the effects of central banks' intervention in the background of incompletely closing,closing,incompletely opening and opening NDF market respectively,taking RMB-Dollar and Won-Dollar exchange rates as empirical objects.Using the DCC-GARCH model,it finds that opening up NDF would significantly improve the integration of spot,DF and NDF markets as well as the volatility correlation.At the same time,with NDFmarket opened up,volatilities usually spill over from NDF to spot and DFmarkets and the effectiveness of central banks' intervention might be weakened.Closing NDFmarket when its DFmarket is not well developed might benefit the DFmarket and decrease the infuence of NDFmarket on currency pricing.zh_CN
dc.description.sponsorship自然科学基金应急项目“人民币外汇衍生产品的发展现状与结构设计”(70741012);教育部人文社科一般项目“市场有效性、价格发现与定价权争夺:基于人民币即期汇率和远期汇率的研究”(07JA790077);教育部“留学回国人员科研启动基金”(教外司留[2008]890号)的资助zh_CN
dc.language.isozhzh_CN
dc.publisher国际金融研究编辑部zh_CN
dc.subject本金不可交割远期zh_CN
dc.subject溢出效应zh_CN
dc.subject价格发现zh_CN
dc.subject央行干预有效性zh_CN
dc.subjectDCC-GARCHzh_CN
dc.subjectNon-Deliverable Forwardzh_CN
dc.subjectSpillover Effectzh_CN
dc.subjectPrice Discoveryzh_CN
dc.subjectEffectiveness of Central Banks' Policyzh_CN
dc.subjectDCC-GARCHzh_CN
dc.title中国应开放人民币NDF市场吗?——基于人民币和韩圆的对比研究zh_CN
dc.title.alternativeShould China Open Up the RMB NDF Market?Evidences from RMB and Korean Wonzh_CN
dc.typeArticlezh_CN


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