Empirical Study on Information Asymmetry Based on Chinese Forward Exchange Rate Market

<正>Many published studies have considered information asymmetry between domestic and foreign investors about local assets in the stock market,particularly in developed markets. The present study proposes a new perspective to address the issue in the case of China's forward exchange rate market.Following theframework of Clarida and Taylor(1997),the term structures of exchange rates in the domestic forward and the non-deliverable forward markets are constructed and then applied to predict future spot exchange rates based on a vector equilibrium correction model.By comparing the forecast accuracy on the basis of the root mean square error and the mean absolute error,it is shown that dynamic out-of-sample forecasts of the domestic forward market are superior to those of the non-deliverable forward market,suggesting that domestic investors are better informed than foreign investors. The result has several important policy implications,especially for exchange rate determination.