Empirical Study Of Chinese Foreign Exchange Market, Exchange Rate Fluctuations

Exchange rate fluctuation has significant impact on domestic economy, foreigntrade and international economic ties. Exchange rate fluctuation directly affectschanges of import and export trades. In order to investigate the relation betweenthem, the study on the properties of exchange rate fluctuation itself is necessary. SoThis dissertation investigated the time series data of four Chinese main exchangerates, which were from April 2, 2002 to March 1, 2006。Simulation and analysiswere processed via Autoregressive Conditional Heteroskedasticity model (ARCH).The results indicated that Renminbi exchange rate against Yen didn't possess ARCHeffect and could only be simulated by ARMA model, while the others, includingRenminbi exchange rate against US dollar, Renminbi exchange rate against Eurosand Renminbi exchange rate against Hongkong dollar, could be simulated viaEGARCH model. The results above shown lever effect exist in Chinese foreigncurrent market. These conclusions had a certain theoretical and practical significanceon our understanding of the causes of exchange rate fluctuations, analysis andforecasting of exchange rate fluctuations and the development of foreign exchangepolicy.