人民幣外匯市場效率性探討

Abstract

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.