文献类型：期刊文献

中文题名：人民币即期汇率与NDF汇率关系的实证分析

英文题名：Empirical Analysis of the Relationship Between RMB Spot and Non-deliverable Forward(NDF) Exchange Rate

作者：王慧[1,2];符亚明[2]

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

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：4

起止页码：76-78

中文期刊名：经济问题

外文期刊名：On Economic Problems

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】；CSSCI:【CSSCI2008_2009】；

语种：中文

中文关键词：即期汇率;无本金交割远期;GARCH模型;溢出效应

外文关键词：spot exchange rate; non - deliverable forward; GARCH model; spillover effect

摘要：以人民币即期汇率与NDF汇率为例研究境内市场与境外市场的信息传递。主要利用GARCH模型描述人民币即期汇率与NDF的变动并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,境外人民币NDF市场是境内即期市场的先导。
This paper investigates the interrelation and information flows between the CNY - USD spot and offshore, i.e., NDF, markets. We use GARCH model to describe the daily changes of the spot and NDF rates and to formulate 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 not the other way round, and that 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 serves an important price discovery role. This also means the domestic financial markets are influenced by the offshore markets.