Cme Rmb Exchange Rate Futures And Spot The Relationship Between Empirical Research

After the reform of exchange rate system of our country, the marketing of RMB exchange rate has improved and fluctuation of both sides becomes severe. Exchange rate risk causing by floating rate faced by enterprises, financial institutions and government is increasing day by day. However, because of the restrictions on capital account and "real need" principal of foreigen exchange trade, the trading volume of domestic currecny derivatives market is samll. As a contrast, the off-shore RMB derivatives market is developing fast, and has an influence in domestice RMB exchange rate. So analysis on the relationship between off-shore derivatives and domestic spot exchange rate becomes very important.Empirical analysis is adopted in this paper. We use GARCH model, VAR model, Granger Causality test, Impulse function and variance decomposition model to do research on volatility and imformation transfer relationships between RMB exchange rate futures, which was created by Chicago Merchantile Exchange of US on August 28^th, 2006, and RMB per dollar midpoint rate of spot market. Conclusions are as follows:①We find that the volatility of RMB futures market is more severe than RMB spot market, and the introducing of RMB futures doesn't detablize RMB spot market;②there is no leverage effect in RMB futures volatility, but good news for appreciation of RMB brings more fluctuation in spot market compared with bad news for depreciation;③midpoint rate of spot market can Granger cause RMB futures and the antecedence of two markets keeps in two period;④there is asymmetry in information transfer of two markets. Influence from spot market is bigger and feedback from futures market is little. Spot market keeps a faintly main effect in information transfer between two markets.Finanly ,we check the empirical hypothesis and give some suggestions on perfecting domestic foreign exchange derivatives market and creating domestic exchange futures market.