| 人民币期货与现货市场的动态关联性研究 |
| |
| 引用本文： | 吴丽华.人民币期货与现货市场的动态关联性研究[J].厦门大学学报(哲学社会科学版),2011(4). |
| |
| 作者姓名： | 吴丽华 |
| |
| 作者单位： | 厦门大学经济学院,福建厦门,361005 |
| |
| 基金项目： | 教育部人文社会科学研究规划基金项目“人民币汇率、价格波动与货币政策”(09YJA790117) |
| |
| 摘 要： | 自2005年7月21日人民币汇率形成机制改革以来,人民币汇率市场化程度日渐加深,汇率双向波动幅度变大,尤其是人民币离岸衍生品市场的发展对我国人民币定价权产生了一定的威胁.芝加哥商业交易所2006年8月28日推出的人民币兑美元汇率期货与人民币兑美元即期汇率之间存在一定的联动关系.基于DCC - MVGARCH模型的相关实证研究表明,目前人民币现货在两个市场间的信息传递中处于主导地位,人民币期货并没有发挥价格发现功能.但随着期货市场的发展及人民币汇率市场化的深入,人民币期货与现货市场的联动性有加强的趋势.
|
| 关 键 词： | 人民币期货 人民币现货 溢出效应 动态相关性 DCC - MVGARCH |
Research on the Dynamic Interrelation in RMB Futures and Spot Markets |
| |
| WU Li-hua.Research on the Dynamic Interrelation in RMB Futures and Spot Markets[J].Journal of Xiamen University(A Quarterly for Studies in Arts & Social Sciences),2011(4). |
| |
| Authors: | WU Li-hua |
| |
| Institution: | WU Li-hua(School of Economics,Xiamen University,Xiamen 361005,Fujian) |
| |
| Abstract: | Since the reform of mechanism for RMB exchange rate(July 21,2005),the marketization of RMB exchange rate has been deepened,and the bi-directional fluctuation of exchange rate has become severe.Besides,the development of off-shore RMB derivational market has also posed certain threats to domestic RMB pricing power.There was a dynamic interrelation between RMB/USD currency futures market and its spot market,the former was created by Chicago Mercantile Exchange on August 28,2006.This empirical study applies th... |
| |
| Keywords: | RMB futures RMB spot spillover effect dynamic correlation DCC-MVGARCH |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
|
