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人民币货币期货合约于2012年9月份在香港交易所上市交易,几个月以来市场运行比较平稳,日交易量也在逐渐攀升过程之中。人民币货币期货合约的推出满足了投资者进行外汇避险和投机的需求,其成功推出也在一定程度上健全了我国人民币离岸外汇市场。外汇期货有两个重要的功能,套期保值和价格发现功能。人民币货币期货推出以来,其是否真正发挥了价格发现的作用,能否引领离岸人民币汇率市场,具有一定的研究价值和现实意义。因此,本文采取实证研究的方法,利用协整分析和方差分解的方法分析了人民币货币期货价格与人民币汇率中间价之间的长期和短期关系。结果表明目前人民币货币期货市场价格发现功能已经初显,但是还没有真正发挥出其作用,价格发现的效率还较低。
The RMB currency futures contract was listed on the Hong Kong Stock Exchange in September 2012. The market has been running smoothly in the past few months and the daily trading volume is gradually rising. The launch of RMB currency futures contracts meets the demand of investors for hedging and speculating in foreign exchange markets. The successful launch of the RMB currency futures contract has also perfected the RMB offshore exchange market in our country to a certain extent. Forex futures have two important functions, hedging and price discovery. Since the introduction of RMB currency futures, whether it has really played the role of price discovery and whether it can lead the offshore RMB exchange rate market has certain research value and practical significance. Therefore, this paper adopts the method of empirical research and analyzes the long-term and short-term relationship between the RMB currency futures price and the RMB intermediate exchange rate by cointegration analysis and variance decomposition method. The result shows that the price discovery function of the RMB currency futures market has begun to show up at present, but it has not really played its role and the efficiency of price discovery is still low.