The Information Flows Between The RMB Currency's Spot And Off-shore Derivatives Markets

Recently RMB's internationalization is one of the hot topics in China.As we know,its' premise is the complete opening of China's Capital Account and RMB's unrestrained exchange,which means that the possibility that China's currency market suffers from the external shock will be increasing,and China's RMB pricing power will be challenged by more external factors meanwhile.So we can't help questioning that whether China's currency market is qualified for RMB's internationalization, what about China's on-shore currency market power compared with off-shore RMB derivatives market,and whether RMB's internationalization right now will cause China's losing RMB pricing power.These questions' answers should resort to the thorough study of the information flows between China's on-shore currency market and off-shore RMB derivatives market,which will provide with guidance the investor's hedging and the Regulator's policy-making as well.There are a large quantities of literature concerning about this subject,which however have not touched upon off-shore RMB futures market.Thus basing on the current literature,this dissertation tries to futher the study on this topic from the following prospectives:one is to study whether RMB futures market has the capability of leading RMB spot rate's tendency and whether it has affect RMB spot market's stability after its' introduction,the other one is to study which is the market price information centre among RMB spot,futures and NDF market.This dissertation includes five parts:Chapter One reviews the development of each China currency market to render background for the following theoretical analysis and empirical study.Chapter Two proves the information flows relationship between currency spot market and derivatives market,providing the following empirical study with theoretical guidance.Chapter Three introduces the empirical analysis methods and models used in this dissertation. Chapter Four introduces this dissertation's empirical result.Chapter Five makes conclusions and some corresponding proposals as logical end of this dissertation.