人民币与新台币汇兑定价机制研究

摘要

As the ＂Three Direct Links＂ between China mainland and Taiwan begins successfully and the cross-strait financial supervision memorandum comes into effect,the economic communication between China mainland and Taiwan becomes more and more close.Therefore,it becomes more urgent to realize two way and direct exchange between RMB and new Taiwan dollar.This paper uses two methods,the direct method and the indirect method,to price the exchange rate of RMB and new Taiwan dollar.The direct method is based on the Purchasing Power Parity（PPP） and monetary model.Through the multivariate linear regression,we find the relationship between the exchange rate and currency supply,the output,interest rates of the two regions.Whereas,the indirect method is based on the theory of Interest rate parity.Through making unit root test,co-integration test and Granger causality test of NDF exchange rate,the forward exchange rate and spot exchange rate between RMB and U.S dollar,as well as NDF exchange rate and spot exchange rate between new Taiwan dollar and U.S dollar,we find that there is a close relationship among them.Therefore,we replace NDF exchange for forward exchange in Interest rate parity.Through comparison of the two methods,we find the indirect method is more suitable for the determination of exchange rate between RMB and new Taiwan dollar.%随着海峡两岸＂三通＂的正式启动以及两岸金融监管谅解备忘录（MOU）的生效,两岸的经贸交流日趋紧密,因此人民币与新台币之间尽快实现双向直接兑换就显得更加迫切。本文采用直接定价和间接定价两种方法对人民币与新台币的汇率做出定价,直接定价法是根据购买力平价理论和货币模型,通过多元线性回归得到两地汇率与我国大陆和台湾地区产出水平、货币供应量和利率的关系。而间接定价法是根据利率平价理论,通过对人民币兑美元的NDF汇率、远期汇率和即期汇率以及新台币兑美元的NDF汇率和即期汇率分别做单位根检验,协整检验和格兰杰因果关系检验后,发现人民币与新台币各自的汇率之间存在显著的相关关系,因此我们利用NDF汇率替代利率平价公式中的远期汇率,计算出人民币与新台币的即期汇率,通过比较发现：间接定价法更适合于人民币与新台币汇率的决定。