Font Size: a A A

Research On Information Flows Between Rmb Domestic Foreign Exchange Markets And Offshore Markets

Posted on:2010-09-02Degree:MasterType:Thesis
Country:ChinaCandidate:R R GuoFull Text:PDF
GTID:2199330338482470Subject:Finance
Abstract/Summary:PDF Full Text Request
Research on information flow among foreign exchange markets is a new study in recent years. It mainly uses the mean spillover effect and the volatility spillover effect to show various markets'pricing power and fluctuation transmitting process. Analysis on information flow between RMB domestic foreign exchange markets and offshore markets is a new point of view, which has important theoretical and practical significance, serving to determine the pricing center of currency, to know clearly the guiding-relationship between various foreign exchange markets to determine the accurate trend of foreign exchange rate in the future, to lay down proper foreign policy promoting the domestic foreign exchange market to develop healthy and constantly.The existing RMB foreign exchange markets include domestic spot market,forward market,offshore NDF market and future market. Studying the four exchange markets in a common system can give a more accurate result. After knowing the definition of price-discovery and information flow, the relative principles such as the relationship of information flow and micro body's behaviors, we used a binary MA (1)-GARCH (1,1) to analyze the information flow about the four yield rate sequences of RMB domestic and offshore foreign exchange markets. The conclusions are as follows,From the aspect of pricing, NDF market is the pricing center of RMB exchange rate, having the absolute advantage of marketing information, and guide the pricing on exchange rate of the other three markets. Spot market has played a role of price-discovering, its ability on digestion and absorption the market information has improved and has begun to affect the domestic forward market's and futures market's pricing power. But forward market has been still affected completely and been guided by the other three markets, the future market has been mainly guided by the spot market and NDF.From the aspect of price volatility, the markets are guided mutually; any market may be the fluctuation and course the other markets to fluctuate. The relevance among the four markets is strengthening; the information-flowing channels among domestic and offshore foreign exchange markets are not blocked. Exchange rate reform has played an active role in promoting the development of domestic foreign exchange market in the short term. However, exchange rate reform should remain a long-term focus which is to developing the domestic markets; especially developing and improving the forward foreign exchange market, and try to nurturing its pricing capacity.Based on the empirical analysis, we give some political proposals to enhance the pricing power of domestic foreign exchange markets, such as perfecting the market's exchanged sorts, improving the market's micro structure and so on.
Keywords/Search Tags:Foreign exchange markets, Information flow, Spillover effect, Pricing
PDF Full Text Request
Related items