摘要
分析离岸NDF交易对于境内人民币汇率的影响机制和效应,对NDF汇率和境内即期、远期汇率之间进行格兰杰因果检验,结果表明:境内即期汇率与NDF汇率之间有较强的引导作用,境内即期汇率占主导地位;1年期的NDF汇率与境内远期汇率之间相互引导,而在其他期限品种上,只存在境内远期汇率对NDF汇率的引导作用。因此,应完善市场基础设施建设;放开对于衍生品交易的限制;加大非银行金融机构和非金融企业的引入力度,扩展市场的容量,促进参与主体间的竞争。
An analysis is change rate, and Grange made on the impact mechanism and effect of NDF transaction on domestic Renminbi excausality test is made on the NDF exchange rate, domestic spot and forward rates. The results suggest that there is a strong guidance role between domestic spot rate and NDF rate, and that domestic spot rate is playing a leading role; one - year NDF exchange rate and domestic forward exchange rate lead each other, and that, as for other maturity categories, there is only a leading role of domestic forward rate on NDF exchange rate. Therefore, it＇ s necessary to consummate market infrastructure, to free restrictions on derivatives transaction, to take greater efforts in introducing non - banking financial and non - financial enterprises so as to extend market capacity and promote competition between participant entities.
出处
《河南金融管理干部学院学报》
CSSCI
2008年第4期112-116,共5页
Journal of Henan College of Financial Management Cadres
关键词
人民币衍生品
无本金交割远期
远期汇率
Renminbi derivatives
non - deliverable forward （NDF）
forward rate
