境外人民币衍生产品发展及启示.pdf

28 中国货币市场 2008.6 外 汇 市 场 fx market 境外人民币衍生品的发展 及其对我国的影响* Offshore RMB derivatives: Development and implications for China 曾令美 王布衣 作者简介 曾令美，中国人民银行上海总部金融市场管理部外汇市场处，高级经济师 王布衣，中国人民银行上海总部金融市场管理部外汇市场处 Authors Zeng Lingmei, Foreign Exchange Market Division, Financial Market Management Department, the PBC Shanghai Head Office Wang Buyi, Foreign Exchange Market Division, Financial Market Management Department, the PBC Shanghai Head Office 摘 要 近年来，境外金融市场相继推出人民币衍生品，如场外人民币无本金交割远期（NDF）、美国芝加哥商品交易所（CME） 人民币期货和期货期权产品等。文章介绍了境内外人民币远期产品的交易情况，并利用近一年的交易数据对三个市场价格的相关 性、拟合程度以及相互引导关系进行了深入分析，认为境内外人民币衍生品市场的互动性较强，国内银行间外汇市场对境外市场 价格具有一定的引导作用，人民币汇率定价权并未如部分人士认为的那样旁落境外。 Abstract Over the past years, offshore financial markets have launched RMB derivatives, including OTC RMB non-deliverable forward (NDF) contracts and the RMB futures and options on futures offered by the Chicago Mercantile Exchange (CME). With an introduction to the performance of RMB forwards in both onshore and offshore markets, this paper uses statistics in a one- year period and makes a thorough analysis of the correlation, degree of fitting and causal relation between prices in the three markets. The findings of the paper are: there is strong interaction between onshore and offshore RMB derivatives market; domestic interbank FX market, to some extent, leads prices in the offshore market; and, therefore, contrary to what some think, the site to decide the price of RMB is not the offshore market. 一、 境内外人民币衍生品近一年的交易情况 续的日历月加上2个延期的季度月，到期以美元进行 （一）CME 人民币对美元期货交易 轧差结算。最终结算价格是以中国外汇交易中心公布 2006年