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人民币非官方汇率定价研究
兼论与官方汇率的背离与统一
基本介绍
- 中文名：人民币非官方汇率定价研究
- 外文名： The unofficial exchange rate pricing research
- 论文作者：张纪林
- 学科专业：国际金融
基本信息
副题名 兼论与官方汇率的背离与统一
外文题名 A study on the pricing of unofficial RMB FX rate and its relationship with official RMB FX rate
论文作者 张纪林着
导师 陈国庆教授指导
学科专业 国际金融
学位级别 d 2001n
学位授予单位南开大学
学位授予时间 2001
关键字 人民币汇率 外汇 汇率定价 官方汇率 汇率
论文摘要
本论文主要研究人民币非官方汇率定价及人民币非官方汇率与官方汇率的背离与统一关係.全文包括前言和五章正文,大体分为四部分.
第一部分为前言.主要分析了论文的研究对象、选题意义、研究现状、预期目标、创新和分析方法.
第二部分为第一章.主要分析了人民币官方汇率定价.进行人民币官方汇率定价研究主要出于两个目的,第一个目的是为后面四章的研究作铺垫.后面四章主要研究人民币非官方汇率定价及非官方汇率与官方汇率的关係,而人民币非官方外汇市场作为人民币官方外汇市场的补充,与人民币官方外汇市场有着千丝万缕的联繫.例如,人民币官方汇率定价中的制度性管制是人民币非官方汇率产生的根本原因,制度性因素不仅对人民币官方汇率定价具有深刻的影响,而且对人民币非官方汇率定价也有较大的影响.对人民币官方汇率定价的研究,也为后两章研究人民币非官方汇率与官方汇率的背离与统一打下了基础.第二个目的是,对前人在人民币官方汇率定价领域未能涉足的部分进行研究.例如,第一章对人民币官方汇率中即、远期汇率定价机制和套利机制的具体分析,这一方面是属于新内容,另一方面也是为后面四章的分析打下了基础.
第三部分包括第二章、第三章,主要分析人民币非官方汇率定价.人民币非官方汇率包括人民币地下外汇市场汇率和离岸人民币汇率,因此,首先在第二章中分析人民币地下外汇市场汇率定价,而后在第三章中分析离岸人民币汇率定价.
第二章採用规範分析和实证分析相结合的方法对人民币地下外汇市场汇率进行分析.首先运用外汇供求的简化模型—S-D模型对人民币地下外汇市场产生的原因及其定价进行规範分析,发现人民币地下外汇市场的产生是必然的,且人民币地下外汇市场均衡汇率的产生也是必然的；而后对人民币地下外汇市场及其定价进行实证分析,在引入人民币地下外汇市场汇率定价模型后,对其进行了适当修正,并用实证分析的方法验证了定价模型修正的有效性.第三章分析了离岸人民币汇率定价.正如亚洲其他国家和地区一样,在离岸金融市场上同样存在离岸人民币外汇市场.由于离岸人民币外汇市场不受我国金融管理当局的管制,使离岸人民币汇率定价的市场化程度较高.由于离岸人民币外汇市场主要存在于香港、新加坡等成熟的离岸金融市场上,因而离岸人民币外汇市场的市场体系较完善,不仅存在离岸即期外汇市场,而且存在其衍生产品市场.离岸人民币的衍生产品包括离岸人民币无本金交割远期和离岸人民币期权.因此,离岸人民币汇率的种类较多,包括离岸人民币即期汇率、离岸人民币无本金交割远期汇率和离岸人民币期权.第三章分别分析了各个离岸人民币外汇市场的概况及离岸人民币汇率的定价,从而使本章内容较为丰富.第四部分包括第四章、第五章,分析了人民币非官方汇率与官方汇率的背离与统一关係.
在特定条件下,人民币非官方汇率与官方汇率之间存在背离.从97-98年金融危机期间泰国货币汇率背离的实证分析来看,汇率背离对一国金融安全构成了实在威胁.人民币非官方汇率与官方汇率背离的潜在威胁之所以未转化为现实的风险,只是因为我国在资本项目下实施了严格的外汇管制.随着我国加入WTO,人民币在资本项目下自由兑换的进程必将加快,汇率背离对我国金融体系的影响也将越来越大,而汇率背离危害的消除需从短期策略和长期策略两方面着手.
无论是非官方汇率与官方汇率之间关係的理论分析,还是拉丁美洲、亚洲和非洲样品国家非官方汇率与官方汇率之间关係的实证分析,都表明非官方汇率对官方汇率的定价具指引作用,两者最终趋于统一.从人民币非官方汇率与官方汇率之间关係的实证分析看,在第二次人民币汇率合併时,人民币非官方汇率同样对官方汇率定价具指引作用,两者同样趋于统一,从而最终可能採取单一浮动汇率制.如果人民币汇率进行第三次合併,以实现单一浮动汇率制,则经济环境趋稳之后,作为非官方汇率的人民币地下外汇市场汇率将是第三次汇率合併后人民币官方汇率定价的有效指引.
第一部分为前言.主要分析了论文的研究对象、选题意义、研究现状、预期目标、创新和分析方法.
第二部分为第一章.主要分析了人民币官方汇率定价.进行人民币官方汇率定价研究主要出于两个目的,第一个目的是为后面四章的研究作铺垫.后面四章主要研究人民币非官方汇率定价及非官方汇率与官方汇率的关係,而人民币非官方外汇市场作为人民币官方外汇市场的补充,与人民币官方外汇市场有着千丝万缕的联繫.例如,人民币官方汇率定价中的制度性管制是人民币非官方汇率产生的根本原因,制度性因素不仅对人民币官方汇率定价具有深刻的影响,而且对人民币非官方汇率定价也有较大的影响.对人民币官方汇率定价的研究,也为后两章研究人民币非官方汇率与官方汇率的背离与统一打下了基础.第二个目的是,对前人在人民币官方汇率定价领域未能涉足的部分进行研究.例如,第一章对人民币官方汇率中即、远期汇率定价机制和套利机制的具体分析,这一方面是属于新内容,另一方面也是为后面四章的分析打下了基础.
第三部分包括第二章、第三章,主要分析人民币非官方汇率定价.人民币非官方汇率包括人民币地下外汇市场汇率和离岸人民币汇率,因此,首先在第二章中分析人民币地下外汇市场汇率定价,而后在第三章中分析离岸人民币汇率定价.
第二章採用规範分析和实证分析相结合的方法对人民币地下外汇市场汇率进行分析.首先运用外汇供求的简化模型—S-D模型对人民币地下外汇市场产生的原因及其定价进行规範分析,发现人民币地下外汇市场的产生是必然的,且人民币地下外汇市场均衡汇率的产生也是必然的；而后对人民币地下外汇市场及其定价进行实证分析,在引入人民币地下外汇市场汇率定价模型后,对其进行了适当修正,并用实证分析的方法验证了定价模型修正的有效性.第三章分析了离岸人民币汇率定价.正如亚洲其他国家和地区一样,在离岸金融市场上同样存在离岸人民币外汇市场.由于离岸人民币外汇市场不受我国金融管理当局的管制,使离岸人民币汇率定价的市场化程度较高.由于离岸人民币外汇市场主要存在于香港、新加坡等成熟的离岸金融市场上,因而离岸人民币外汇市场的市场体系较完善,不仅存在离岸即期外汇市场,而且存在其衍生产品市场.离岸人民币的衍生产品包括离岸人民币无本金交割远期和离岸人民币期权.因此,离岸人民币汇率的种类较多,包括离岸人民币即期汇率、离岸人民币无本金交割远期汇率和离岸人民币期权.第三章分别分析了各个离岸人民币外汇市场的概况及离岸人民币汇率的定价,从而使本章内容较为丰富.第四部分包括第四章、第五章,分析了人民币非官方汇率与官方汇率的背离与统一关係.
在特定条件下,人民币非官方汇率与官方汇率之间存在背离.从97-98年金融危机期间泰国货币汇率背离的实证分析来看,汇率背离对一国金融安全构成了实在威胁.人民币非官方汇率与官方汇率背离的潜在威胁之所以未转化为现实的风险,只是因为我国在资本项目下实施了严格的外汇管制.随着我国加入WTO,人民币在资本项目下自由兑换的进程必将加快,汇率背离对我国金融体系的影响也将越来越大,而汇率背离危害的消除需从短期策略和长期策略两方面着手.
无论是非官方汇率与官方汇率之间关係的理论分析,还是拉丁美洲、亚洲和非洲样品国家非官方汇率与官方汇率之间关係的实证分析,都表明非官方汇率对官方汇率的定价具指引作用,两者最终趋于统一.从人民币非官方汇率与官方汇率之间关係的实证分析看,在第二次人民币汇率合併时,人民币非官方汇率同样对官方汇率定价具指引作用,两者同样趋于统一,从而最终可能採取单一浮动汇率制.如果人民币汇率进行第三次合併,以实现单一浮动汇率制,则经济环境趋稳之后,作为非官方汇率的人民币地下外汇市场汇率将是第三次汇率合併后人民币官方汇率定价的有效指引.
英文摘要
ABSTRACT
This dissertation makes a study on unofficial RMB foreign exchange(FX) ratepricing and the relationship between unofficial RMB FX rate and official RMB FX rate.The dissertation, which is generally divided into four parts includes introduction,five-chapter text.Introduction, the first part, is to analyze the subject to study, the reasons of choosingthe subject, the status of the study on the subject, anticipated target, the innovation of thedissertation and the analysis methods used in the dissertation.Chapter one, the second part, is to analyze official RMB FX rate pricing .The firstreason why we analyze official RMB FX rate pricing is that, the study on official RMBFX rate pricing is the groundwork of the study on both unofficial RMB FX rate pricingand the relationship between unofficial RMB FX rate and official RMB FX rate. Thesecond reason is that we have some new ideas on official RMB FX rate pricing.Part three, the key point of this article, is made up of chapter two and three. Partthree makes a study on unofficial RMB FX rate pricing. Unofficial RMB FX rate iscomposed of underground RMB FX rate and offshore RMB FX rate.Chapter two makes a study on underground RMB FX rate pricing. S-D mode isapplied to analyze both the mechanism of underground RMB FX market and itsequilibrium rate. After an underground RMB FX rate pricing mode is introduced, themode is adjusted by adding a parameter. The adjusted mode is proved to be effectivethrough case study.Chapter three makes a study on offshore RMB FX rates pricing. The offshore RMBFX market is mainly located in Hongkong and Singapore. It is not controlled by Chinesegovernment, so the rates are determined by the market. Offshore RMB FX rates arecomposed of offshore RMB FX spot rate, non-delivable forward rate (NDF) and RMBoption price.Part four, which is made up of chapter four and five, makes a study on therelationship between unofficial RMB FX rate and official RMB FX rate .In certaincondition, unofficial RMB FX rate deviates from official RMB FX rate. From the casestudy of Thailand in Asian financial crisis, we know that the deviation has great negativeimpact on the financial system. Since the capital account is strictly controlled by Chinesegovernment, the deviation between unofficial RMB FX rate and official RMB FX ratedidn't have negative impact on the inland financial system in Asian financial crisis in1997 and1998. When the control on capital account is released, the deviation will havenegative impact on the financial system, we should take both long run measures andshort run measures to prevent the financial system from the negative impact of thedeviation.The results of both theoretical analysis and the case study of the countries fromLatin America, Asia and Africa, prove that the official FX rate will be set at the level ofunofficial FX rate before unification when FX market is unified. The official RMB FXrate was set at the level of unofficial RMB FX rate before unification when the RMB FXmarket was unified in 1994.To adopt single floating RMB FX rate system, we shouldunify the RMB FX market in the future. We can set the official RMB FX rate at the levelof unofficial RMB FX rate before unification when we unify the RMB FX market for thethird time.
This dissertation makes a study on unofficial RMB foreign exchange(FX) ratepricing and the relationship between unofficial RMB FX rate and official RMB FX rate.The dissertation, which is generally divided into four parts includes introduction,five-chapter text.Introduction, the first part, is to analyze the subject to study, the reasons of choosingthe subject, the status of the study on the subject, anticipated target, the innovation of thedissertation and the analysis methods used in the dissertation.Chapter one, the second part, is to analyze official RMB FX rate pricing .The firstreason why we analyze official RMB FX rate pricing is that, the study on official RMBFX rate pricing is the groundwork of the study on both unofficial RMB FX rate pricingand the relationship between unofficial RMB FX rate and official RMB FX rate. Thesecond reason is that we have some new ideas on official RMB FX rate pricing.Part three, the key point of this article, is made up of chapter two and three. Partthree makes a study on unofficial RMB FX rate pricing. Unofficial RMB FX rate iscomposed of underground RMB FX rate and offshore RMB FX rate.Chapter two makes a study on underground RMB FX rate pricing. S-D mode isapplied to analyze both the mechanism of underground RMB FX market and itsequilibrium rate. After an underground RMB FX rate pricing mode is introduced, themode is adjusted by adding a parameter. The adjusted mode is proved to be effectivethrough case study.Chapter three makes a study on offshore RMB FX rates pricing. The offshore RMBFX market is mainly located in Hongkong and Singapore. It is not controlled by Chinesegovernment, so the rates are determined by the market. Offshore RMB FX rates arecomposed of offshore RMB FX spot rate, non-delivable forward rate (NDF) and RMBoption price.Part four, which is made up of chapter four and five, makes a study on therelationship between unofficial RMB FX rate and official RMB FX rate .In certaincondition, unofficial RMB FX rate deviates from official RMB FX rate. From the casestudy of Thailand in Asian financial crisis, we know that the deviation has great negativeimpact on the financial system. Since the capital account is strictly controlled by Chinesegovernment, the deviation between unofficial RMB FX rate and official RMB FX ratedidn't have negative impact on the inland financial system in Asian financial crisis in1997 and1998. When the control on capital account is released, the deviation will havenegative impact on the financial system, we should take both long run measures andshort run measures to prevent the financial system from the negative impact of thedeviation.The results of both theoretical analysis and the case study of the countries fromLatin America, Asia and Africa, prove that the official FX rate will be set at the level ofunofficial FX rate before unification when FX market is unified. The official RMB FXrate was set at the level of unofficial RMB FX rate before unification when the RMB FXmarket was unified in 1994.To adopt single floating RMB FX rate system, we shouldunify the RMB FX market in the future. We can set the official RMB FX rate at the levelof unofficial RMB FX rate before unification when we unify the RMB FX market for thethird time.
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