發(fā)布時(shí)間：2018-06-04 01:11

  本文選題：境內(nèi)外人民幣 + 遠(yuǎn)期市場(chǎng)��； 參考：《復(fù)旦大學(xué)》2014年碩士論文

【摘要】：在我國(guó)金融市場(chǎng)飛速發(fā)展,資本流動(dòng)日趨活躍的今天,人民幣國(guó)際化是未來(lái)發(fā)展的必然趨勢(shì)。在匯率市場(chǎng)化發(fā)展進(jìn)程中,研究離岸人民幣市場(chǎng)在不同的發(fā)展階段下,境內(nèi)外人民幣遠(yuǎn)期市場(chǎng)間的信息傳遞以及境內(nèi)遠(yuǎn)期市場(chǎng)價(jià)格決定機(jī)制的問(wèn)題,不僅對(duì)于分析人民幣境內(nèi)外匯率市場(chǎng)一體化有著重要的意義,而且對(duì)監(jiān)管當(dāng)局制定貨幣政策、完善匯率機(jī)制也有著實(shí)際作用。本文正是在當(dāng)前香港離岸人民幣遠(yuǎn)期市場(chǎng)蓬勃發(fā)展的背景下,重點(diǎn)研究了境外人民幣遠(yuǎn)期市場(chǎng)的結(jié)構(gòu)變化、境內(nèi)外人民幣遠(yuǎn)期市場(chǎng)的信息傳遞以及境外市場(chǎng)對(duì)境內(nèi)人民幣遠(yuǎn)期匯率定價(jià)的影響這三方面的問(wèn)題。在研究方法上,本文采取了理論與實(shí)證將結(jié)合的方式,首先針對(duì)研究問(wèn)題所涉及的金融市場(chǎng)關(guān)聯(lián)效應(yīng)和匯率定價(jià)理論進(jìn)行了闡述,并對(duì)前人在該領(lǐng)域的文獻(xiàn)進(jìn)行歸納總結(jié)：其次對(duì)境內(nèi)外人民幣遠(yuǎn)期市場(chǎng)發(fā)展歷程及現(xiàn)狀進(jìn)行回顧和分析,并在此基礎(chǔ)上深度分析了境外人民幣遠(yuǎn)期市場(chǎng)的結(jié)構(gòu)變化；再次,基于境外人民幣遠(yuǎn)期市場(chǎng)的變化,通過(guò)對(duì)投資者行為模式的定性分析和運(yùn)用協(xié)整檢驗(yàn)、構(gòu)建VAR模型、格蘭杰因果檢驗(yàn)和脈沖響應(yīng)的實(shí)證方式,對(duì)境內(nèi)外人民幣遠(yuǎn)期市場(chǎng)的信息傳遞方式和方向進(jìn)行分析研究。最后,以香港離岸人民幣遠(yuǎn)期市場(chǎng)產(chǎn)生為節(jié)點(diǎn),創(chuàng)新性地采取分段時(shí)序建模的方法,通過(guò)單位根檢驗(yàn)、協(xié)整檢驗(yàn)以及構(gòu)建誤差修整模型的方式,來(lái)論證香港離岸人民幣遠(yuǎn)期市場(chǎng)對(duì)境內(nèi)人民幣遠(yuǎn)期市場(chǎng)匯率定價(jià)的影響,以數(shù)量化實(shí)證研究的方式提高本文研究的科學(xué)性。根據(jù)研究發(fā)現(xiàn)：第一、境外人民幣遠(yuǎn)期市場(chǎng)在香港離岸人民幣遠(yuǎn)期市場(chǎng)產(chǎn)生后,結(jié)構(gòu)上出現(xiàn)了全新的變化。因資產(chǎn)可生息、交易更靈活、交割無(wú)法律風(fēng)險(xiǎn)等因素,新興的香港離岸遠(yuǎn)期市場(chǎng)已逐步取代傳統(tǒng)的人民幣無(wú)本金交割遠(yuǎn)期市場(chǎng),成為境外人民幣遠(yuǎn)期市場(chǎng)的主要交易市場(chǎng)。第二、2008年到2013年期間,在境內(nèi)外人民幣遠(yuǎn)期市場(chǎng)的信息傳達(dá)上,新生的香港離岸遠(yuǎn)期市場(chǎng)和境內(nèi)人民幣遠(yuǎn)期市場(chǎng)呈現(xiàn)出單向引導(dǎo)關(guān)系,境內(nèi)人民幣遠(yuǎn)期市場(chǎng)處于信息中心。第三、創(chuàng)新性地發(fā)現(xiàn),2008年以來(lái),隨著匯率利率市場(chǎng)的各項(xiàng)改革措施的推進(jìn),利率平價(jià)的定價(jià)機(jī)制在人民幣遠(yuǎn)期市場(chǎng)中的作用越來(lái)越顯著,在香港離岸市場(chǎng)誕生之后,境內(nèi)人民幣遠(yuǎn)期匯率的主要影響因素依然是利率平價(jià)�？梢�(jiàn),我國(guó)境內(nèi)人民幣遠(yuǎn)期市場(chǎng)已經(jīng)基本實(shí)現(xiàn)了從預(yù)期定價(jià)機(jī)制向利率平價(jià)機(jī)制轉(zhuǎn)變。
[Abstract]:With the rapid development of China's financial market and the increasingly active capital flow, RMB internationalization is an inevitable trend in the future. In the course of the development of exchange rate marketization, this paper studies the transmission of information between the domestic and foreign renminbi forward markets and the price determination mechanism of the domestic forward market under the different stages of development of the offshore RMB market. It is of great significance not only to analyze the integration of the exchange rate market inside and outside the RMB, but also to make monetary policy and perfect the exchange rate mechanism. Under the background of the booming offshore renminbi forward market in Hong Kong, this paper focuses on the structural changes of the offshore renminbi forward market. The information transmission of domestic and foreign RMB forward market and the influence of overseas market on the domestic RMB forward rate pricing are discussed in this paper. In terms of research methods, this paper adopts the combination of theory and empirical approach. Firstly, this paper expounds the financial market correlation effect and exchange rate pricing theory involved in the research. And summarized the previous literature in this field: secondly, the development of the domestic and foreign renminbi forward market and the status quo are reviewed and analyzed, and on this basis, in-depth analysis of the overseas renminbi forward market structure changes; again, Based on the change of overseas RMB forward market, through qualitative analysis and cointegration test of investor behavior model, this paper constructs VAR model, Granger causality test and impulse response. This paper analyzes and studies the way and direction of information transmission in the domestic and foreign RMB forward market. Finally, taking the offshore renminbi forward market in Hong Kong as the node, the paper innovatively adopts the method of piecewise time series modeling, through unit root test, cointegration test and the way of constructing error dressing model. To demonstrate the impact of offshore renminbi forward market in Hong Kong on the domestic RMB forward market exchange rate pricing, and to improve the scientific nature of this study by quantitative empirical research. According to the findings: first, the offshore forward market in Hong Kong offshore renminbi forward market, the structure of a new change. Due to the factors such as interest bearing, more flexible trading and no legal risk for delivery, the emerging offshore forward market in Hong Kong has gradually replaced the traditional renminbi non-deliverable forward market and become the main trading market in the offshore renminbi forward market. Second, between 2008 and 2013, the emerging offshore forward market in Hong Kong and the domestic renminbi forward market showed a unidirectional guiding relationship in the transmission of information in the domestic and foreign renminbi forward markets, and the domestic renminbi forward market was at the information center. Third, innovatively found that since 2008, with the promotion of various reform measures in the exchange rate market, the role of the interest rate parity pricing mechanism in the renminbi forward market has become more and more significant, and after the emergence of the offshore market in Hong Kong, The main influence factor of domestic RMB forward exchange rate remains interest rate parity. Therefore, the RMB forward market in China has basically realized the transformation from the expected pricing mechanism to the interest rate parity mechanism.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F832.6

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相關(guān)期刊論文 前1條

1 師麗霞;孟浩;;香港人民幣離岸市場(chǎng)發(fā)展對(duì)內(nèi)地金融市場(chǎng)穩(wěn)定的影響分析[J];海南金融;2011年05期

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本文編號(hào)：1975124