文献类型：期刊文献

中文题名：人民币离岸市场与境内市场的信息传递研究——基于NDF汇率和即期汇率的实证分析

英文题名：Information flows Between RMB Offshore Market and Domestic Market:Evidence From Non-deliverable Forward(NDF)and Spot Markets

作者：王慧[1,2];刘宏业[3]

第一作者：王慧

机构：[1]中国社会科学院世界经济与政治研究所;[2]北京联合大学商务学院;[3]北京银行

第一机构：中国社会科学院世界经济与政治研究所,北京100732

年份：2009

期号：3

起止页码：31-34

中文期刊名：金融理论与实践

外文期刊名：Financial Theory & Practice

收录：CSTPCD;;国家哲学社会科学学术期刊数据库;北大核心:【北大核心2008】；

语种：中文

中文关键词：无本金交割远期;即期汇率;GARCH模型;离岸市场

外文关键词：Non-deliverable Forward; Spot Exchange Rate; GARCH Model; Offshore Market

摘要：本文研究人民币即期汇率与NDF之间的关系和信息流的传递。利用MA(1)—GARCH(1,1)模型描述人民币即期汇率与NDF的变动,用GARCH模型检验人民币即期汇率与NDF之间的均值溢出效应和波动溢出效应。得到的主要结论为,人民币NDF市场对人民币即期汇率市场有均值溢出效应,人民币即期汇率和NDF之间有双向波动溢出效应。这表明信息流由境外市场传导至境内市场,人民币即期汇率市场受到境外市场因素的影响,离岸人民币NDF市场是境内即期市场的先导。
This paper investigates the relationship and information flows between the spot market and NDF market. We find that daily changes of the spot and NDI~＇ rates can be approx,mated Dy a MA （ 1 ）-GARCH （ 1,1 ）model. Using the GARCH formulation, this paper tests the spillover effects in conditional mean and volatility between the spot and NDF markets. The results show that there is a mean spillover effect from the NDF market to the spot market and and a volatility spillover effect exists in both directions. This means information in the offshore market is transmitted to the domestic currency market and the forward market plays an important price discovery role in this process. This also shows the domestic financial markets are influenced by the offshore markets.