Analysis Of RMB Exchange Rate Volatility And It’s Impact On Return Of International Project Contractor Enterprise

Since July21,2005，china began to carry out a managed floating exchange ratesystem on the basis of the demand of market and to be adjusted refer to the marketcurrency. The RMB exchange rate no longer focus on single dollar, but to form amore flexibility RMB exchange rate system. The new form of exchange system notonly satisfy the market mechanism, and provide space for the exchange volatility ofCNY. After years of development and improvement, Chinese engineering contractingenterprises expand the market to other countries, the continue increase of operationrevenue and the expand of market development of footprint let these enterprises havea significantly improve at the international competitiveness. At the beginning, chineseenterprises put the Asia and Africa as the major market, but now they have grown tomore than180countries throughout the world and develop a Asia-based, developmentof Africa, restore the Middle East, open up the United States and LatinAmerica”diversified market pattern. With the improvement of the services demandfor construction engineering worldwide and our country’s contract amount ininternational market,the volatility of RMB exchange rate will have a great effect onour country’s services for the International contracted projects.The paper make use of the daily volatility data of CNY/RMB exchange ratefrom January1,2000to December31,2013to empirical analysis. First, analysis thetime series of RMB/CNY exchange rate from the statistical characteristics, specificfrom the test of JB and ARCH to verify the volatility of CNY exchange disobey thenormal distribution and there exist Heteroscedasticity characteristic. Second, useARMA（p, q）to build the mean equation of the volatility of exchange rate, then usethe method of GARCH to build the model of exchange rate and analysis theR-Squared of different GARCH model,to predicting the results of exchange rate onthe basis this model. At the last, combine the predicting results of exchange rate andthe financial data of jiangxi coal group, analysis how to use financial time predictionmodel and accurately predict the change of the exchange rate under the condition ofthe volatility of RMB exchange rate, and also provide feasible Suggestions and measures to China coal construction group on how to reduce the risk of theexchange rate and to profit,improving the comprehensive strength and influence ofChina coal construction group in the field of international contracting project.