文档介绍：对外经济贸易大学
硕士学位论文
人民币远期汇率与即期汇率相关性的实证研究
姓名:蔡雅楠
申请学位级别:硕士
专业:金融学
指导教师:潘红宇
20080401
摘要
汇率作为外汇市场的交易价格,随供求关系上下波动,使境内外居民和企
业面临汇率风险。当前,随着我国开放程度的不断提高,大量资本跨境流动引起
的汇率市场波动,增大了对风险规避的要求,而比较常见的规避汇率风险的办法
就是在远期市场上进行套期保值。因而,在人民币汇率决定机制的愈加灵活、市
场化,人民币远期交易市场发展迅速的现状下,研究人民币即期与远期市场的关
系,有着重要的意义。
本文从实证角度出发,利用计量经济学和时间序列相关知识对人民币远期
汇率和即期汇率进行分析,试图发现两个市场的规律和内在联系,并以此为依据
对我国外汇市场的发展提出相应的建议。
本文利用时间序列分析方法,选取 2006 年 1 月 4 日至 2007 年 4 月 16 日人
民币即期汇率和远期结售汇汇率数据,通过协整检验和格兰杰因果检验进行了实
证分析,并对两列时间序列数据建立 GARCH 模型,结果发现,人民币即期汇率
与境内远期各期限品种的汇率存在明显的协整关系。即期汇率是境内远期汇率的
格兰杰原因,并引导各期限远期汇率的走势。GARCH 模型显著说明,人民币即期
和远期市场收益率都存在明显的 ARCH 效应;人民币即期和远期市场之间波动
存在溢出效应,而且是单向的,人民币远期汇率的波动导致了即期汇率的波动,
两市波动异方差可以进行拟合。即期汇率波动比远期汇率更为剧烈。
因此,文章最后,提出了加快基础性外汇市场建设和发展,转向更市场化
的汇率形成机制,提高银行风险控制能力等政策建议。
关键词:即期汇率,远期结售汇汇率,实证研究
Abstract
As the price of foreign exchange market, the exchange rate fluctuates and brings
risks when the supply and demand changes. Currently, the demand for risk aversion is
increasing because of the larger fluctuation of spot rate of RMB caused by wider
economic openness and large amount of cash flow across borders. The mon
method to avert risk is hedging in forward market. Thus, analysis on the interrelation
between Renminb forward and Spot Market has important meaning.
This paper uses the Economics and Time Series method to analysis the RMB
spot rate and forward rate, trying to find the disciplinarian and relationship between
the two Markets. Based on the analysis, some suggestion is provided to improve the
foreign exchange market.
This paper uses time series analysis, adopts Co-integration test, Granger
causality and GARCH analysis based on the database of the Renminb forward and
Spot rate between , 2006 and , 2007. The results show that the Renminb
forward and Spot rate has a long-term balance and short –term correctional
relationship. Spot rate granger causes the forward rate and leads the trend of forward
rate