China has failed to damp expectations of further gains in the renminbi in the next 12 months, raising the prospect of further inflows of speculative money.The market for non-deliverable forwards offshore derivatives used by currency speculators and foreign investors in domestic Chinese shares suggested yesterday that the renminbi would rise by 4.7 per cent over the next 12 months, compared with an expected rise of about 5 per cent before the announcement of China''s revaluation. The 4.7 per cent rise would be from the revalued level, 2.1 per cent higher than before Thursday''s revaluation. “So far, China has failed to quell expectations for further [renminbi] gains in the next 12 months,” said Mirza Baig, currency strategist at Deutsche Bank in Singapore.But investors sharply reduced their short-term expectations, amid signs that the Chinese central bank was unlikely to allow further appreciation of the renminbi in the next few weeks. Non-deliverable forwards yesterday suggested that one-month expectations had more than halved, with the expected renminbi increase dropping from 0.9 per cent on Friday to 0.4 per cent.The renminbi was traded yesterday at about 8.1101 per dollar in the spot market, compared with the 8.1100 level set by Chinese authorities on Thursday. “We believe the Chinese central bank will try to hold the renminbi spot rate steady [through currency intervention], while making one-off adjustments,” said Mr Baig.Options markets yesterday saw a fall in expected volatility over the short term. The six-month implied volatility of the renminbi was at 4 per cent, against 6.75 per cent on Thursday and Friday. “Last week''s revaluation has removed a lot of the uncertainty premium,” said Mr Baig. “At 4 per cent, volatility is historically cheap.”
投资者预期人民币将继续升值
英国《金融时报》记者弗洛里安•金贝尔(Florian Gimbel)
中国未能抑制人民币未来12个月进一步升值的预期，投机性资金因而可能进一步流入中国。无本金交割远期离岸衍生产品市场昨天的行情显示，未来12个月里人民币将升值4.7%，而在中国宣布人民币升值前，市场预期人民币升值约5%。货币投机炒家和投资于中国国内股票的外国投资者就使用这种衍生产品。这将在人民币升值2.1%的基础上进一步升值4.7%。 “迄今中国未能抑制未来12个月人民币进一步升值的预期，”德意志银行(Deutsche Bank)驻新加坡货币策略师米尔萨•贝格(Mirza Baig)表示。有迹象显示中国央行不可能允许人民币在未来几周里进一步升值，投资者大幅降低了他们的短期预期。无本金交割远期合约昨天显示，一个月预期已降低一半以上，人民币预期升值幅度周五从0.9%跌至0.4%。昨天现货市场人民币兑美元汇价在8.1101元人民币左右，相比中国当局周四设定的水平为8.1100元。贝格先生表示：“我们认为中国央行在进行一次性调整的同时，将(通过货币干预)设法保持人民币现货汇率稳定。”期权市场上，人民币短期预期波动率下降。6个月人民币隐含波动率为4%，相比周四和周五为6.75%。“上周人民币升值已消除了大量不确定性溢价。”贝格先生说，“在4%这一水平，波动率史无前例地低。”
