本文選題：人民幣遠期匯率 + 2010年匯改　； 參考：《華東師范大學》2014年碩士論文

【摘要】：經(jīng)過2005年及2010年兩次匯改,人民幣匯率的彈性大大增強,但由于人民幣中間價所反映的價格較難真實反映市場的供求關(guān)系,人民幣即期匯率依然存在一定的單邊預期。遠期匯率是最基礎(chǔ)的外匯衍生產(chǎn)品,標的物清晰,期限和價格可以根據(jù)現(xiàn)金流的需求協(xié)商確定,并能夠?qū)崿F(xiàn)即期市場不能實現(xiàn)的規(guī)避匯率風險、價格發(fā)現(xiàn)功能,也是各類衍生產(chǎn)品的定價基礎(chǔ)。因此,選擇遠期匯率作為研究對象具有很強的現(xiàn)實意義。 我國目前的遠期結(jié)售匯制度依然基于貿(mào)易實需原則,采用到期交割本金的方式。除了境內(nèi)的遠期結(jié)售匯市場,在香港、新加坡還有離岸人民幣無本金交割NDF市場,離岸市場交頭活躍,其價格發(fā)現(xiàn)功能對于境內(nèi)人民幣遠期匯率、人民幣即期匯率都有較大影響。本文在深入分析境內(nèi)遠期市場的發(fā)展及離岸NDF市場的成功經(jīng)驗的基礎(chǔ)上,選用較為創(chuàng)新的遠期升貼水率作為數(shù)據(jù)基礎(chǔ),通過格蘭杰因果檢驗、脈沖響應函數(shù)、誤差修正模型檢驗2010年6月匯改前后人民幣境內(nèi)外市場遠期定價權(quán)的博弈,得出除了1月期遠期合約以外,其余3月、6月、12月合約在2010年匯改后,境內(nèi)遠期市場的定價能力顯著提升,并能夠通過信息優(yōu)勢影響離岸NDF市場,人民幣一系列的改革措施對于人民幣遠期市場的發(fā)展是有積極意義的。 通過對比境內(nèi)外人民幣遠期市場的發(fā)展經(jīng)驗及實證檢驗的結(jié)果,筆者認為,我國可以有序推進利率市場化,適時走出去、引進來,同時也需要練好內(nèi)功。2013年上海自由貿(mào)易試驗區(qū)正式掛牌,其后自貿(mào)區(qū)擴大服務業(yè)開放措施、央行30條對自貿(mào)區(qū)的發(fā)展指明了方向。人民幣遠期市場改革將能夠通過自貿(mào)區(qū)先行試點,逐步推廣。
[Abstract]:After the two exchange rate reforms in 2005 and 2010, the flexibility of RMB exchange rate is greatly enhanced, but because the price reflected by the intermediate price of RMB is difficult to truly reflect the relationship between supply and demand in the market, there is still a certain unilateral expectation of the spot exchange rate of RMB. The forward exchange rate is the most basic foreign exchange derivative product, the subject matter is clear, the term and price can be determined through negotiation according to the demand of cash flow, and can realize the function of avoiding exchange rate risk and price discovery which can not be realized in spot market. It is also the pricing basis of all kinds of derivatives. Therefore, the choice of forward exchange rate as the object of study has a strong practical significance. The present forward settlement and sale of foreign exchange system in China is still based on the principle of real trade demand and adopts the method of delivery of principal due. In addition to the domestic forward settlement and sale market, in Hong Kong and Singapore there is an offshore renminbi non-deliverable NDF market, and the offshore market is active. Its price discovery function is for the domestic renminbi forward exchange rate. The spot exchange rate of RMB has great influence. Based on the in-depth analysis of the development of domestic forward market and the successful experience of offshore NDF market, this paper selects the more innovative forward rising discount rate as the data basis, through Granger causality test, pulse response function, The error correction model tests the game of the forward pricing power in the domestic and foreign markets before and after the exchange rate reform in June 2010, and draws the conclusion that the other contracts in March, June and December are after the exchange rate reform in 2010, except for the one-month forward contracts. The pricing power of domestic forward market has been improved significantly, and the offshore NDF market can be influenced by information superiority. A series of reform measures of RMB are of positive significance to the development of RMB forward market. By comparing the development experience of domestic and foreign RMB forward markets and the results of empirical tests, the author believes that China can promote the marketization of interest rates in an orderly manner, go out at the right time, and bring in. In 2013, the Shanghai Free Trade Zone was officially listed, and since then the Free Trade Zone has expanded its service sector opening measures. The central bank has set the direction for the development of the free trade zone. The forward market reform of RMB will be able to be promoted step by step through the pilot of the Free Trade Zone.
【學位授予單位】：華東師范大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.6

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本文編號：1806685