Inside And Outside The Rmb Forward Market Dynamics Associated Research

In this dissertation, a research has been made on the dynamic correlation between domestic and offshore RMB foreign exchange markets. Through analyzing the transmission mechanism among the markets and quantize the mutual effects, it specifies the correlative degree and information flow between domestic and offshore markets. In addition, the seat of RMB forward pricing power can be judged by acquiring different price discovery ability of two markets.The essay firstly introduces development situation and compares differences between domestic and offshore forward markets, analyzes the transmission mechanism and gives a theoretical definition of price discovery. Based on above, four series of forwards with different periods were separately selected to be studied with Granger casualty test, finding the linear remuneration overflow relationship between the markets; VEC model is built to conduct impulse response function and variance deposition, so that the asymmetric information transmission among the markets can be quantified, showing the offshore market remains relative independent, while the domestic market being immensely effected by spot market and offshore market. Seeing from the pricing contribution, NDF market occupies the leader position, with domestic markets contributing about 40-50% and starting to take effect. GARCH model is built to find out that domestic forward market has become the source of volatility by causing one-way spillover effect to external market, while the opposite doesn't stand. Facing challenge brought by the NDF market, learning experience from others and analyzing the possibility to open offshore NDF market, we propose to take effort on perfecting spot market, enlarging domestic forward market scale, enhancing commercialize reform of interest and exchange rate market and improving domestic forward pricing mechanism. With these, we can steadily propel development of onshore NDF market and strengthen the domestic market's independent pricing power and competitiveness.