【摘要】：隨著世界經(jīng)濟(jì)一體化程度的加深,世界各國(guó)之間的經(jīng)濟(jì)聯(lián)系越來(lái)越密切,國(guó)際貿(mào)易、對(duì)外直接投資、對(duì)外間接投資、銀行對(duì)外信貸等活動(dòng)越來(lái)越頻繁,匯率成為各涉及對(duì)外經(jīng)濟(jì)活動(dòng)的企業(yè)和投資者必須關(guān)注的焦點(diǎn)。由于中國(guó)人民銀行對(duì)人民幣匯率的波動(dòng)區(qū)間的進(jìn)一步放寬,企業(yè)和投資者所面臨的外匯風(fēng)險(xiǎn)也越來(lái)越大,為了規(guī)避和管理外匯風(fēng)險(xiǎn)、防止不必要的損失,企業(yè)和投資者必須重視匯率預(yù)測(cè)和市場(chǎng)判斷。盡管利率平價(jià)理論有許多缺陷,但該理論一直是解釋匯率行為的、最常用的理論基礎(chǔ)。那么利率平價(jià)理論在我國(guó)是否適用?人民幣匯率定價(jià)是否合理?我國(guó)外匯市場(chǎng)是否有效?這是本文的寫作目的。本文通過(guò)對(duì)中國(guó)貨幣市場(chǎng)和外匯市場(chǎng)的發(fā)展現(xiàn)狀的了解,采用市場(chǎng)化的Shibor、人民幣對(duì)美元匯率和美元Libor為研究對(duì)象來(lái)研究利率平價(jià)理論在我國(guó)的適用性。數(shù)據(jù)樣本為交易活躍的一周、一個(gè)月和三個(gè)月三種期限自2009年3月至2012年底的數(shù)據(jù),實(shí)證采用的主要方法為靜態(tài)和動(dòng)態(tài)DCC-MGARCH模型。經(jīng)過(guò)實(shí)證檢驗(yàn)及對(duì)比發(fā)現(xiàn),雖然動(dòng)態(tài)DCC-MGARCH模型的實(shí)證效果較靜態(tài)實(shí)證效果較好,但兩種實(shí)證檢驗(yàn)得出的結(jié)論相同：利率平價(jià)理論在中國(guó)不適用,人民幣匯率定價(jià)存在不足,我國(guó)外匯市場(chǎng)不是有效市場(chǎng)。由實(shí)證結(jié)論及對(duì)我國(guó)貨幣市場(chǎng)和外匯市場(chǎng)發(fā)展現(xiàn)狀的了解,發(fā)現(xiàn)利率平價(jià)理論在我國(guó)不適用的主要原因是我國(guó)人民幣匯率還未市場(chǎng)化及我國(guó)外匯市場(chǎng)發(fā)展不完善。對(duì)此提出要使人民幣匯率定價(jià)更合理,我國(guó)應(yīng)穩(wěn)步推進(jìn)市場(chǎng)化改革并加強(qiáng)外匯市場(chǎng)基礎(chǔ)設(shè)施建設(shè),為人民幣匯率定價(jià)提供更透明和完善的市場(chǎng)環(huán)境。
[Abstract]:With the deepening of the degree of economic integration in the world, the economic ties between countries in the world are becoming more and more close. Activities such as international trade, foreign direct investment, foreign indirect investment, and bank external credit are becoming more and more frequent. Exchange rate has become the focus of enterprises and investors involved in foreign economic activities. As the people's Bank of China further relaxes the range of fluctuations in the RMB exchange rate, enterprises and investors are facing increasingly greater foreign exchange risks. In order to avoid and manage foreign exchange risks and prevent unnecessary losses, Companies and investors must attach importance to exchange rate forecasting and market judgment. Although the theory of interest rate parity has many defects, it has always been the most commonly used theoretical basis for explaining exchange rate behavior. So is the theory of interest rate parity applicable in China? Is the pricing of RMB exchange rate reasonable? Is China's foreign exchange market effective? This is the purpose of this paper. This paper studies the applicability of interest rate parity theory in China through the understanding of the current situation of the development of China's money market and foreign exchange market, and the use of market-oriented Shibor, RMB / US dollar exchange rate and US dollar Libor as research objects. The data samples are the data from March 2009 to the end of 2012 with three periods of active trading week, one month and three months. The main empirical methods are static and dynamic DCC-MGARCH model. Through the empirical test and comparison, it is found that although the dynamic DCC-MGARCH model has better empirical effect than static empirical effect, the two empirical tests have the same conclusion: the theory of interest rate parity is not applicable in China, and the RMB exchange rate pricing is insufficient. China's foreign exchange market is not an efficient market. Based on the empirical conclusions and the understanding of the current situation of the development of China's money market and foreign exchange market, it is found that the main reasons why the theory of interest rate parity is not applicable in China are that the RMB exchange rate in China has not yet been marketized and the development of our foreign exchange market is not perfect. In order to make RMB exchange rate pricing more reasonable, China should steadily promote market-oriented reform and strengthen the infrastructure construction of foreign exchange market so as to provide a more transparent and perfect market environment for RMB exchange rate pricing.
【學(xué)位授予單位】：南京財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.6

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本文編號(hào)：2365900