The Relationship Between Spot And Forward For RMB Exchange Rates

As one of the most important factors under open Macroeconomic condition, the change of the exchange rate influences many aspects of the economy and relates to the stability of a country's finance system. It is very important to judge the exchange rate trend correctly for avoiding the risks. Because of the arbitrage behavior and the market anticipation and other mechanisms, the spot and forward exchange rate exists certain relations, so we can use the forward exchange rate changes to forecast the spot exchange rate's trend. At the recent years, the trading of RMB and the foreign currency is active, the exchange rate volatility property strengthens, also increased the risks. Under the situation, the research of RMB spot and forward exchange rate's relationship has a better practical meaning. Through analyzes the price fixed factors, the change's tendency, the relation mechanism of RMB spot and forward exchange rate, this article explains that the spot and forward exchange rate exists correlativity, namely the forward rate trend had reflected the spot rate trend; but also discovered that it has the deviation between them, they do not have the long-term balanced (co-integration) relationship. Through testing the data after 2005, has proved that RMB spot and forward exchange rate exists the correlativity and do not exist long-term balanced (co-integration) relationship. Finally, give the reasonable proposals about our country's foreign exchange market policies unified with the present situation.