The Research Of Pricing For Forward Exchange Rate Of RMB

On the basis of the domestic and foreignachievement,this thesis starts researchbased on uncovered interest parity and the pricing theory of financial derivatives. First,the paper tests uncovered interest parity model by using data from April1,2010toApril30,2010, and the evidence shows that the model’s prediction value deviatesfrom the the actual forward exchange rate.Then the paper derives pricing model ofthe RMB forward rate in imperfect markets from the perspective of Derivatives pricing,and then it uses data of one-month, three months, six months, nine months and oneyear RMB/U.S.dollar forward rate from November4,2008to April30,2010to makeempirical test, as a result,the test shows that the deviation between predicted forwardexchange rate of RMB by new model and the actual forward rate is relatively small,especially the one month forward bias is very small. The shorter duration is, thesmaller bias is, in other way,the better the model’s prediction is. This pricing model offorward rate may be used as an important reference by commercial banks in thecircumstance that financial market in China have not yet been perfect,that’s to say, thenew pricing model has a strong theoretical and practical significance. However, thenew pricing model of forward rate derived from the imperfect market is flawed. Thebias will increase with the length of period, therefore, the pricing model of forwardrate in imperfect market is merely an expedient under a specific environment, in orderto fundamentally solve the problem of forward exchange rate pricing, this paper putsforward some suggestions at the end.