Research On The Development Of RMB Futures

As the world's first financial futures,foreign exchange futures has become an indispensable financial derivative tool in the international financial market exchange rate risk management during the past half century.Along with the prevailing of the economic globalization and the floating exchange rate system,it plays a more and more important role in promoting foreign trade,foreign investment facilitation and serving the real economy.At present,the frequent occurrences of international financial crisis,as well as strong fluctuation of the derivatives market trading volume and liquidity index,endows foreign exchange futures with the most prominent and wind-vane-like position in the hedging exchange rate risk management of the current major economic entities and financial firms.Furthermore,the foreign exchange futures prove to be a kind of exchange rate risk management tool,the discover of the exchange rate price,and an important measuring marks of exchange rate market and financial market development level.Following the deepening reform of China's exchange rate formation mechanism,the two-way fluctuation of exchange rate will be more obvious and significant,which results in our business entities facing greater exchange rate risk.To avoid the risk,it bounds to seek diversity and innovation of the financial derivative tool.Without corresponding hedging risk management tools,it is too difficult to deal with the uncertainty brought about by the complex market risk.Presently,the RMB exchange rate derivatives floor market in our country is still falling behind the OTC market,or a big gap compared with the matured international foreign exchange derivatives market,regardless of the size or variety of transactions.For long-term development,to strengthen the future control of the RMB exchange rate pricing initiative,we need to gradually establish in and improve the offshore and onshore RMB futures market at the same time,promote the interaction between domestic and overseas RMB futures market,enhance the RMB exchange rate voice in the global market,deepen and enrich China's foreign exchange market system,form foreign exchange spot,foreign exchange forwards,foreign exchange swaps,foreign exchange futures,foreign exchange options and other derivatives market integrity system,as finally establish the solid foundation of RMB internationalization.Based on the perspective of international currency futures development as the core,the paper is taking the past-present-future timeline as the main line throughout the whole RMB futures market research process.It considers the economic function of foreign exchange futures and foreign exchange theory as the guide,using a combination of quantitative and qualitative methods,and comprehensive analysis of the offshore and onshore RMB futures development,in order to dig the possibility of further development of the RMB futures market.This paper starts from the microcosmic level to analyze the onshore and offshore RMB futures development process.In the current development of the offshore RMB futures markets,it is divided into two stages:germination and gradual promotion.Using the RMB exchange rate,interest rates and capital controls,the three impact factors,we combine the failure analysis of China' onshore RMB futures pilot program as an reference.On the basis of the above,the paper uses ECM-BGARCH,VECM,modified MIS information share model and VECM-EGARCH model,to demonstrate substantial analysis of RMB futures hedging,price discovery and volatility spillovers empirical.And finally,the even in-depth measurements on the hedging ratio and its effectiveness,the price discovery function upon parallel lead-lag relationship and RMB price contribution,in addition to the RMB future volatility spillover effect from the volatility clustering and volatility spillover of short-term and long-term,are also introduced inside.In view of a comparative analysis purpose,the paper also draws on the experience of international foreign exchange market and currency futures development.Considering the development stage correlation and situation similarity aspects,we select India,Brazil and Russia,the three BRIC countries,to explore their currency futures development paths and enlightenments on RMB futures.This paper prospect the RMB futures commercialization process development by deepening the reform of the RMB exchange rate,identifying Hong Kong as the important bridgehead role in offshore RMB futures market,improving the cross rate foreign exchange futures and RMB currency futures in sequence,reconstructing onshore RMIB futures market,to build a complete system of domestic foreign exchange derivatives.We hope this article can lead to more responses and suggestions of scholars,and make our modest contribution for China's further financial innovation and future RMB internationalization process.