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本文首先介绍了人民币无本金交割远期交易(NDF)的特点、市场发展及操作机制。在此基础上,我们具体分析了离岸NDF交易对于境内人民币汇率的影响机制和效应。对NDF汇率和境内即期、远期汇率之间进行的格兰杰因果检验表明:境内即期汇率与NDF汇率之间有较强的引导作用,且境内即期汇率占主导地位;1年期的NDF汇率与境内远期相互引导,而其他期限品种只存在境内远期汇率对NDF汇率的引导作用。在文章的最后,我们提出了若干境内远期外汇市场发展的政策建议。
This article first introduces the characteristics of RMB NDF, market development and operation mechanism. On this basis, we analyzed in detail the mechanism and effect of offshore NDF transactions on the exchange rate of RMB in China. The Granger causality test between the NDF exchange rate and the domestic spot and forward exchange rates shows that there is a strong guiding role between the domestic spot exchange rate and the NDF exchange rate and the spot exchange rate prevails in China. The 1-year Of the NDF exchange rate with the domestic long-term mutual guidance, and other species only exist within the forward exchange rate of NDF exchange rate guidance. At the end of the article, we put forward some policy recommendations for the development of the domestic forward foreign exchange market.