China's Non-financial Enterprises Exchange Rate Risk Measurement And Empirical Research

Since the new exchange rate system took into practice on July 21, 2005, the foreign exchange market of China has also implemented a series of complementary measures, making China's foreign exchange market adapt to exchange rate reform. All these made our country's foreign exchange more market-oriented, and the corresponding fluctuations of the exchange rate is also increasing. Therefore, the exchange rate risk has become the important issue of risk management which non-financial enterprise carry out. The core of risk management is risk measurement, and accurate measurement is the key to success or failure of the risk management strategy.Internationally accepted measurement of financial market risk is VaR methods, research on the VaR can be numerous both at home and abroad in recent years, but the use of VaR model that measure the risk of the RMB exchange rate is very little. It is because that RMB has been pegged to U.S dollars. With the implementation of the reform of exchange rate, exchange rate market has been more market-orinented. In addition, making use of VaR model to measure the risk of China's exchange rate has become possible.In this paper, we have carried out normality test, heterroscedasticity test and smooth test. At first, it proves that the VaR model can be used in RMB/U.S dollar exchange rate logarithmic rate of return. Then we use different method to do reserch on the RMB exchange rate. Finally, we proved that the VaR models upon the GARCH(1,1)-t is the best models by the accurate test.In the end,we give the conclusion of the study and the outlook of the VaR models.