摘要
作为反映人民币汇率预期的显著指标，近年来人民币期权市场受市场关注度快速提升。文章分析比较了2016年境内外人民币期权市场的运行特点，指出两个市场呈现出了更高的相关性和一致性，其背后原因则在于，在中间价透明、境内外汇价价差稳定、中间价贴合成交价的大前提下，汇率可控贬值可控的预期日盛，从而带来两个市场波动率的趋近。
As a significant indicator reflecting RMB exchange rate anticipation, the RMB options market has attracted a lot more attention in recent years. This essay analyses and compares the operational characteristics of the onshore and offshore RMB options market in 2016, pointing out that the two markets has presented a higher level of correlation and consistency. With a transparent central parity rate, a stable spread between the CNY and CNH rates, and a smaller gap between the central parity and the spot rate, anticipations of controllable exchange rate and depreciation risks has been rising, thus brings about the converging of the volatility of the two markets.
出处
《中国货币市场》
北大核心
2017年第1期58-61,共4页
China Money
