人民币远期市场价格发现的实证研究
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引用本文:李江涛,谭 清.人民币远期市场价格发现的实证研究[J].经济数学,2010,27(4):98-104
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作者单位
李江涛,谭 清 (1.广东技术师范学院 会计学院广东 广州510665
2.中证期货有限公司广东 深圳518031) 
中文摘要:通过建立向量误差修正模型并运用信息份额模型对市场间共同价格发现的贡献大小进行定量分析.借助Engle-Granger的协整检验方法对人民币外汇市场,即境外人民币NDF汇率、境内人民币远期汇率以及人民币即期汇率市场三个市场两两之间的动态关系进行探讨.研究表明,在价格发现的领域,满足协整关系的两汇率市场间确实存在着一个共同变化的趋势即共因子(common factor),它们之间有着共同的价格发现机理过程.
中文关键词:价格发现  协整  向量误差修正模型  信息份额模型
 
An Empirical Analysis of Price Discovery on the Chinese RMB Forward Markets
Abstract:China is advancing the marketability of the RMB exchange rate, the RMB derivative markets have gain more attentions from companies, investors ,banks and professionals. We used co-integration to study the dynamic relationships among offshore NDF exchange rate, onshore forward exchange rate and RMB spot exchange rate. By employing the Information Shares model of Hasbrouck(1995), we conducted a further qualitative and quantitative study of each two markets,which satisfied with co-integration relationships in order to do comparative analysis on onshore forward market and offshore forward market.Thus the capacity of incorporating new information of the forward markets was derived,and the information efficiency among forward markets was discussed.
keywords:price discovery  co-integration  VECM  information share
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