From the perspective of heterogeneous trader behaviors, the paper constructs a model of forward exchange rates, which includes rational traders and noise traders, and analyzes the characteristics of volatility curve of forward exchange rates in equilibrium. Then, based the model, we apply the method of curve fitting to investigate the relationship between the volatility of RMB NDF exchange rates and expectation of premiums and discounts. The results show that it is a partial U-shaped curve relation, which is consistent with the conclusions of the theoretical model. The paper provides a theoretical explanation to volatility mechanism of forward exchange rates, and a new empirical basis for the central bank to smooth the exchange rates volatility.%基于异质交易者行为视角,构建了一个包含理性交易者和噪声交易者在内的远期汇率决定模型,并分析了均衡状态下的远期汇率波动曲线特征.基于此模型,利用曲线拟合方法,实证研究了人民币NDF汇率波动与升贴水预期之间的关系,研究表明,远期汇率波动与升贴水预期之间呈偏U型曲线关系,与理论模型的结论相吻合.本文从异质交易者行为的角度对远期汇率的波动机理提供了理论解释,同时为央行平滑远期汇率波动提供了新的经验依据.
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