Ndf-Based Forecasting Of RMB Spot Exchange Rate

From the interest rate parity theory, we know that, the forward rate is the "wind vane" of the spot exchange rate. It means that whether the price of forward exchange rate is reasonable can affect the expectations and tendency of the spot exchange rate directly. Therefore, to make the relationship between exchange rates and forward exchange rate and prediction of the spot exchange rate using NDF and forward exchange rate as the main object of this study has some theoretical and practical value.In this paper, we use some econometric models and analysis technology to do some research on the RMB / US spot exchange rate and the relationship between the forward exchange rate. There are some specific methods which is used for the article. They are stationary time series test, integration test, cointegration tests, Granger causality test, impulse response analysis and error correction model.Firstly, this article uses smooth unit root test, cointegration stability test, integration test, cointegration test, Granger causality test, impulse response analysis method to do the analysis. And we found that the forward rate and spot rate are cointegrated.From the Granger causality test , we know that, in the long term, in all the forward rate model of different terms, the spot exchange rate is the Granger reason for the forward exchange rate. In the short term, the experimental results show that, in China, the forward exchange rate has weak effect on forecasting spot rate, and the marketization degree of the foreign exchange market is low.In the part of the prediction of RMB, we forecast the spot exchange rate with 1 month and 1-year NDF rate and the forward exchange rate respectively by using error correction model. From all the results, we know that, the forecast on 1 month and 3months future spot exchange rate by the onshore forward exchange rate is better than the one by the offshore NDF.the forecast on 3 months and 1 year which is done by offshore NDF rate is better than the one by the onshore forward exchange.Finally, the author makes some policy recommendations on how to develop the three RMB exchange rate markets.