摘要
本文就2010-2016年美元、欧元、日元、港币、英镑、澳元和加元对人民币7种远期汇率的信息含量和定价偏差进行研究,从多边汇率角度挖掘人民币定价机制的深层次问题。基于构建的三角汇率模型研究结果显示:除港币外,其他5种非美元货币远期汇率具有的信息含量有限,均受美元远期汇率的影响;美元远期汇率偏离市场预期的状态会传导至非美元远期汇率,导致后者同样偏离市场预期;这些远期汇率与相应的即期汇率之间也不存在直接的价格引导关系,价格发现能力有限。基于远期汇率与抛补利率平价隐含价格和预期未来即期汇率之间的回归分析,本文发现:在对美元实行兑换限制时,必然导致对其他货币同样采取兑换限制;7种货币远期汇率均存在显著的CIP隐含偏离,抛补利率平价与非抛补利率平价在中国外汇市场基本无法成立。
This paper studies the information content and pricing deviation of seven forward exchange rates between the CNY and the USD, EUR, JPY, HKD, GBP, AUD and CAD between 2010 and 2016, which helps us better understand the underlying problem of pricing mechanism existed in China foreign ex- change market. By using a Triangular Arbitrage Model proposed in this paper, we find that： excluding HKD, all the other five non-US currency forwards contain very few information and adjust prices according to the USD/CNY forward price ; the deviation of USD/CNY forward price from the expected price will lead to the same deviations of non-US currency forward prices from their expectations; the information transmis- sion between these forward prices and the corresponding spot prices is not significant, implying the low price discovery capacity of the forward rates. Based on the regression of forward rates on CIP-implied for- ward rates and the expected future spot rates, this paper shows that the existence of conversion restriction between USD and CNY leads to the same conversion restrictions on other non-US currencies; there exist significant CIP violations in all the seven forward prices, and CIP and UIP fail to hold in China forward market.
作者
吴蕾
文占雅
Wu Lei Wen Zhanya
出处
《世界经济》
CSSCI
北大核心
2017年第4期167-192,共26页
The Journal of World Economy
基金
国家自然科学基金项目(71303016)和(71671008)的资助
关键词
远期汇率
即期汇率
价格发现
定价偏差
forward exchange rate, spot exchange rate, price discovery, pricing deviation
