国际金融研究
國際金融研究
국제금융연구
Studies of International Finance
2005年
10期
49~54
,共null页
人民币NDF 汇率失调 BEER 协整
人民幣NDF 彙率失調 BEER 協整
인민폐NDF 회솔실조 BEER 협정
NDF; Exchange Rate Misalignment; BEER; Co-integration
本文通过计量分析方法研究人民币NDF与人民币汇率失调的关系。研究发现，人民币NDF与理论远期汇率相偏离，反映了资本管制和市场预期；人民币NDF与基准汇率之差和人民币汇率失调程度存在内在而长期的一致关系；短期、随机和投机因素对人民币NDF价格的影响不大，总体上使得人民币更加被低估；人民币NDF市场比较理性。
本文通過計量分析方法研究人民幣NDF與人民幣彙率失調的關繫。研究髮現，人民幣NDF與理論遠期彙率相偏離，反映瞭資本管製和市場預期；人民幣NDF與基準彙率之差和人民幣彙率失調程度存在內在而長期的一緻關繫；短期、隨機和投機因素對人民幣NDF價格的影響不大，總體上使得人民幣更加被低估；人民幣NDF市場比較理性。
본문통과계량분석방법연구인민폐NDF여인민폐회솔실조적관계。연구발현，인민폐NDF여이론원기회솔상편리，반영료자본관제화시장예기；인민폐NDF여기준회솔지차화인민폐회솔실조정도존재내재이장기적일치관계；단기、수궤화투궤인소대인민폐NDF개격적영향불대，총체상사득인민폐경가피저고；인민폐NDF시장비교이성。
Based on econometrical method, this paper analyzes the relationship between NDF and misalignment of RMB. Analysis shows that NDF of RMB differs from the theoretical forward rate, and this reflects capital control and expectation; there is an internal and permanent equilibrium relationship between difference of NDF and central parity, and misalignment of RMB. In the short run, random and speculative effect upon NDF is small, and resulted in the overestimate of the underestimate range of RMB; NDF market of RMB is rational.
