摘要
汇率改革以来,人民币境内即期汇市与境外NDF汇市的相互作用逐渐加强。通过对汇率弹性不同时期的人民币境内即期汇市与境外NDF汇市进行分段比较分析表明,二者间有较显著的引导作用和波动溢出效应,汇率弹性的增加有助于提升境内市场的价格引导力,过多的汇市干预和严格的波幅限制则会削弱它。越具"弹性化"的境内汇率越具价格引导力。
Since exchange rate reform, the interaction between RMB spot and NDF markets has be- come gradually strengthened. After comparison between the RMB spot and NDF markets based on the exchange rate series before and after the two exchange rate reforms, we found that there＇re obvious price spillover effects between them, with a significant guidance to each other in addition. The increase of exchange rate flexibility can help promote the price guide force of domestic market, while the frequently currency intervention and hard fluctuation limit would weaken it. The more elastic the domestic exchange rate is, the stronger price guide force it has. The foreign exchange market inclined to ＂marketization ＂and ＂liberalisation＂ are more pricing dominant.
出处
《数理统计与管理》
CSSCI
北大核心
2012年第6期1073-1083,共11页
Journal of Applied Statistics and Management
基金
国家自然基金项目(70973021)资助
福建省社科基金重点项目(2009A032)资助
