中文摘要：

在外汇市场存在风险溢价或参与者非理性预期的前提下，以人民币境内即期和远期外汇市场为例，在非线性的误差修正模型（VECM）框架下，对金融危机期间远期汇率之间的均衡关系进行了实证研究。实证结果表明：①金融危机期间，境内不同到期期限远期汇率之间存在着长期均衡关系，并且长期均衡关系由远期溢价期限结构所决定；②非线性误差修正模型能对远期汇率之间的短期动态机制进行较好地解释。这为辨别金融危机期间汇市的周期变化，认识汇率价格关系的变化特征提供了一定的理论基础和统计依据。

英文摘要：

Using the domestic RMB spot and forward markets during the financial crisis as an example, we first analyze the equilibrium relationship of the term structure of the forward exchange rate under the framework of nonlinear VECM, with the assumption of non-rational expectations and the presence of risk premiums. Empirical results show that： （1） there exists a long-term equilibrium relationship among the term structure of onshore forward exchange rate, where the cointegration relation of the term structure of onshore forward rate is defined by the vector of forward premiums. （2） non-linear error correction model can explain better short-term dynamics mechanism between the forward exchange rate for different maturities. The study provides a certain theoretical and statistical basis to identify the cycle of changes in foreign exchange markets, recognizing the variation characteristics of relationship among forward exchange rate for different maturities during the financial crisis.