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研究生:吳豐仰
研究生(外文):Feng-Yang Wu
論文名稱:人民幣外匯市場效率性探討
論文名稱(外文):The Efficiency Hypothesis Testing of the Offshore RMB Foreign Exchange Market
指導教授:吳中書吳中書引用關係
口試委員:林金龍張焯然
口試日期:2013-10-07
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:經濟學研究所
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2013
畢業學年度:102
語文別:中文
論文頁數:67
中文關鍵詞:人民幣遠期外匯NDFGranger因果關係自我向量迴歸模型(VAR)Johansen共整合
外文關鍵詞:RMBForward RateNDFGranger causality testVector AutoRegression model (VAR)Johansen Co-integration Model
相關次數:
  • 被引用被引用:1
  • 點閱點閱:354
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  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
人民幣在境外外匯市場上的重要性與日俱增,今年(2013)人民幣已正式成為全球第九大交易貨幣,本研究主要探討境外人民幣(CNH)在國際間資本移動程度,將採用「利率平價理論」做實證分析。其次,考量人民幣不可交割遠匯(NDF)的避險功能式微,境外人民幣可交割遠匯(CNH_DF)的每日交易量已超越NDF,因此將檢視可交割人民幣遠匯(CNH_DF)對企業而言是否是一個較佳的匯率避險工具。
實證結果為,拋補利率平價(CIP)成立,但非拋補利率平價(UIP)不成立,表示境外人民幣(CNH)資本仍具相當的移動性。而境外人民幣即、遠期匯率間不存在共整合關係,顯示境外人民幣外匯市場不具有效率性。而境外人民幣(CNH)與境外可交割遠期外匯(CNH_DF)具有雙向因果關係;但不交割遠期外匯(NDF)對境外人民幣即期匯率(CNH)則僅具有單向因果關係。此外,境外人民幣(CNH)即期匯率對可交割遠匯(CNH_DF)有較高的預測誤差的解釋力;而境外人民幣(CNH)對不可交割遠匯(NDF)的預測誤差的解釋力則相對較低。實證結果得到企業以可交割人民幣遠匯(CNH_DF)做為人民幣匯率避險工具較為合適的結論。


In 2013, the Offshore RMB(CNH) has officially became the Ninth largest trading currency and it now plays a more decisive role than ever before in the global Foreign Exchange (FX) Market. This research primarily aims at conducting an empirical analysis on the degree of mobility of Offshore RMB by taking the “Interest Rate Parity theorem”.. Additionally, this research also examines whether CNH_DF, comparing to RMB NDF, is a more appropriate hedging instrument for enterprises?.
The following results are concluded: Covered Interest Parity (CIP) theory holds
while Uncovered Interest Parity (UIP) theory does not, indicating that the offshore RMB is highly liquidity. A cointegration relationship cannot be found between Offshore RMB spot exchange rate and forward exchange rate which means the Offshore FX market is inefficient. Bidirectional Granger causality is observed between CNH spot exchange rate and CNH Deliverable Forward exchange rate while one-way Granger causality is observed between CNH spot exchange rate and CNH Non-Deliverable Forward exchange rate. In addition, the explanatory power of CNH spot exchange rate for CNH Deliverable Forward exchange rate (DF) is higher than the explanatory power of CNH spot exchange rate for Non-Deliverable Forward exchange rate (NDF).
Accordingly, the result of empirical analysis in this study suggests that the Deliverable Forward (CNH_DF) is a more appropriate offshore RMB hedging instrument for enterprises.


第一章 緒論 …………………………………………………1
第一節 研究動機 …………………………………………1
第二節 研究目的 …………………………………………1
第三節 研究背景(人民幣發展過程) …………………4
第四節 論文架構與研究流程 …………………………14
第五節 本研究的創新與不足 …………………………16
第二章 理論基礎與文獻探討 ………………………………18
第一節 理論基礎 …………………………………………18
第二節 文獻探討 …………………………………………27
第三章 資料來源與研究方法 …………………………………31
第一節 資料的來源及處理 ………………………………31
第二節 研究流程及研究方法………………………………33

第四章 實證結果與分析 ………………………………………42
第一節 簡單圖形分析 ……………………………………42
第二節 單根檢定 …………………………………………43
第三節 共整合檢定及誤差修正模型 ……………………45
第四節 因果關係檢定 ……………………………………47
第五節 衝擊反應及變異數分解 …………………………49
第五章 結論 …………………………………………57
參考文獻 ………………………………………………………58


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徐千婷(2006), 匯率與總體經濟變數之關係, 《中央銀行季刊》,第28卷
第4期(p20~28)
彭子源、陳璐(2011), 人民幣無本金交割遠期市場對人民幣匯率的影響, 《財政金融》(p12~31)
魏 艾(2009), 人民幣區域式及其對兩岸經貿合作的意涵, 和平論壇
嚴敏、巴曙松(2010), 人民幣即期匯率與境內外遠期匯率動態關聯NDF
監管政策出臺之後, 《財經研究》(p15~25)

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參考書目
楊奕農 (2009),《時間序列分析:經濟與財務上之應用》, 第二版,雙葉書廊.
James H.Stock and Mark W.Watson,《Introduction to Econometrics》, (2th Edition),胥愛琦,呂瓊瑜譯, 計量經濟學,東華書局。

參考網站

香港金融管理局(HKMA)網站
中國人民銀行(PBOC)網站
中國外匯管理局(SAFE)網站
中國海關總署網站
中國國家統計局網站
中國銀行(香港)(BOC)網站


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