人民币NDF与即期汇率的动态关联性研究
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财经研究 2007 年 第 33 卷第 09 期, 页码：62 - 69
摘要
参考文献
摘要
文章以2005年7月25日~2006年6月13日间人民币NDF和即期汇率为研究对象,以MA(1)-GARCH(1,1)模型分析人民币NDF市场和即期市场间均值和波动的溢出效应。分析结果表明,两个市场的波动没有相互溢出效应,即期市场对人民币NDF市场没有报酬溢出效应,而人民币NDF市场对即期市场具有报酬溢出效应。可见,我国汇制改革后,境外因素已开始影响人民币即期市场。
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[3]王凯立,吴军奉.台湾即期、远期和无本金交割远期外汇交易关联性研究——NDF市场关闭政策分析[J],经济论文(中国台湾省),2006,34:21~36.
[4]张陶伟,杨金国.人民币NDF与人民币汇率失调关系的实证分析[J].国际金融研究,2005,(10):28~33.
[5]中国人民银行.中国货币政策执行报告[J].www.pbc.gov.cn,2005,(3):18~19.
[6]中国人民银行.中国货币政策执行报告[J].www.pbc.gov.cn,2006,(1):15~17.
[7]Bank for International Settlements.Triennial central bank survey:Foreign exchange andderivatives market activity in 2004[R],Basel,2005:23~26.
[8]Bollerslev T.Generalized autoregressive conditional heteroskedasticity[J].Journal ofEconometrics,1986,31:307~327.
[9]Bollerslev T,J Wooldridge.Quasi-maximum likelihood estimation and inference in dy-namic models with time-varying covariances[J].Econometric Reviews,1992,11:143~172.
[10]Emerging Market Traders Association.First quarter 2003 emerging market NDF vol-ume survey[R].New York,2003:46~49.
[11]Hamao Y,R Masulis,V Ng.Correlations in price changes and volatility across inter-national stock markets[J].Review of Financial Studies,1990,3:281~308.
[12]HSBC.Asian FX Regulation Handbook[R].Hong Kong SAR,2003:124~131.
[13]Ma G N,C Ho,R N McCauley.The markets for non-deliverable forwards in Asiancurrencies[J].BIS Quarterly Review,2004,6:81~94.
[14]Nelson D B.Conditional heteroskedasticity in asset returns:A new approach[J].Econometrica,1991,59:347~370.
[15]Park J.Information flows between non-deliverable forward(NDF)and spot markets:Evidence from Korean currency[J].Pacific-Basin Finance Journal,2001,9:363~377.
引用本文
徐剑刚, 李治国, 张晓蓉. 人民币NDF与即期汇率的动态关联性研究[J]. 财经研究, 2007, 33(9): 62–69.
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