摘要
文章基于境内市场是离岸市场的信息中心假说,同时考虑到离境NDF市场市场化程度更高的因素,利用MA(1)-GARCH(1,1)模型,对两市场间的相互影响进行检验。实证结果表明,汇改后我国外管局针对人民币在岸远期市场的一系列改革措施已取得了成效。该市场取得了一定的发展,已体现了本土的信息中心优势作用;短期内有较强的定价能力,对离岸人民币NDF汇率产生了影响,但其在中长期的定价能力还较薄弱,很大程度仍受离境NDF市场报价的影响。
Based on the hypothesis that the domestic market is the information centre of the oversea market,and considering the oversea NDF market is more developed and much marketization,this article uses MA（1）-GARCH（1,1）model to test the mutual effect between each other.the empirical results show,a series of reform measures on the onshore forward market of RBM from state administration of foreign exchange have made obvious achievement,this market gained development to a limited extent,it has manifested the advantage of the information centre;in the short run,it has strong pricing ability and has affected the NDF foreign exchange rates,but this ability in the medium and long term is much weak and affected by the oversea NDF market to a great extent.
出处
《华东经济管理》
CSSCI
2010年第7期26-31,共6页
East China Economic Management
关键词
在岸远期汇率
NDF汇率
溢出
定价能力
forward exchange rate
NDF exchange rate
spillage
pricing ability
