境内外人民币远期市场套期保值效率研究
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上海财经大学学报 2009 年 第 11 卷第 04 期, 页码：91 - 99
摘要
参考文献
摘要
目前境内外存在两个人民币远期市场。远期市场的作用之一是套期保值,境内外远期市场套期保值绩效孰优孰劣,境内人民币远期市场是否能提供有效的套期保值绩效是很有意义的问题。本文通过建立误差修正模型对比研究境内外人民币远期市场的套期保值绩效,并且通过稳健性分析,表明境内人民币远期市场的套期保值绩效优于境外NDF市场。
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[2]黄学军,吴冲锋.离岸人民币非交割远期与境内即期汇率价格的互动:改革前后[J].金融研究,2006,(11):83-89.
[3]徐剑刚,李治国,张晓蓉.人民币NDF与即期汇率的动态关系研究[J].财经研究,2007,(9):61-68.
[4]张陶伟,杨金国.人民币NDF与人民币汇率失调关系的实证研究[J].国际金融研究,2005,(10):49-54.
[5]刘玉平.现代金融经济中的经济泡沫分析[J].上海大学学报,2007,(4):41-45.
[6]Chou W.,Denis,K.,Lee,C.Hedging with the Nikkei index futures:the conventional versus the errorcorrection model[J].The Quarterly Reviewof Economics and Finance,1996,36:495-505.
[7]Ederington L.H.The hedging performance of the new futures markets[J].The Journal of Finance,1979,34:157-170.
[8]Engle R.F.,Granger C.W.Cointegration and error correction:representation,esti mation,and testing[J].Econometrica,1987,55:251-276.
[9]Ghosh A.Hedging with stock index futures:esti mation and forecasting with error correction model[J].The Journal of Futures Markets,1993,13:743-752.
[10]Lien D.The effect of the cointegration relationship on futures hedging:a note[J].Journal of FuturesMarkets,1996,16:773-780.
[11]Lien D.,Tse Y.K.Some recent developments infutures hedging[J].Journal of Economic Surveys,2002,16(3):357-396.
[12]Phillips P.,Perron P.Testing for a unit root in ti me series regressions[J].Biometrika,1988,75:335-346.
[13]Fung H.G.and Leung.The use of forward contracts for hedging currency risk[J].Journal of internation-al Financial Management&Accounting,1993,3(1):78-92.
[14]Swanson P.E.and Caples S.C.Hedging foreign exchange risk using forward foreign exchange markets:An extension,[J].Journal of International Business Studies,1987,18(1):75-82.
引用本文
刘京军, 曾令, 梁建峰. 境内外人民币远期市场套期保值效率研究[J]. 上海财经大学学报, 2009, 11(4): 91–99.
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