摘要
人民币金融有效汇率指数的构建,可以从无风险金融资产和风险金融资产两个角度来探讨。以抵补利率平价理论为基础,从无风险金融资产视角出发构建的金融有效汇率指数,将关注点从即期有效汇率指数过渡到远期有效汇率指数,从金融资产的角度完善了人民币金融有效汇率指数体系,可用于测度人民币所面临的升贬值压力,为投资者提供了衡量一国货币对外价值高低的前瞻性参考。研究表明,不同期限下的人民币金融有效汇率指数走势之间的差别主要受国内外利差因素的影响,但即期汇率的波动是影响其走势的最主要因素。
The construction of the RMB effective exchange rate index can be discussed from the two angles of risk free financial assets and risk financial assets. On the basis of the theory of the covered interest parity, the financial effective exchange rate index built from the perspective of risk free financial assets transits its focus from the effective exchange rate index at sight to the forward effective exchange rate index, which can improve the RMB financial effective exchange rate index system from the perspective of financial assets, thus it can be used to measure the pressure on in- crease and decrease in value that RMB is faced, providing the investors with foresight references to weigh the external value of a currency. The results indicate that the differences between the trends of RMB financial effective exchange rate index under different time limits are mainly caused by the fac- tor of interest margin both at home and abroad, but the fluctuation of the spot rate is the major fac- tor influencing the trends.
出处
《当代财经》
CSSCI
北大核心
2016年第4期40-50,共11页
Contemporary Finance and Economics
基金
国家社会科学基金重点资助项目"贸易-资本双权重下的人民币有效汇率指数研究"(13AJL008)
关键词
利率平价
无风险金融资产
利差
金融有效汇率指数
interest rate parity
risk free financial assets
interest margin
effective exchange rate index
