The Pricing And Gaming Of RMB Forward Market

After the twice revaluation of exchange rates in2005and2010, the flexibility of the RMB exchange rate increases greatly, but with the middle price of RMB difficult to reflect supply and demand of the market, the RMB spot exchange rate still exist certain unilateral expectations. The forward rate is the most basic contract of foreign exchange derivatives, the subject matter clearly, period and price can be negotiated according to the requirements of cash flow, and can realize the exchange rate risk, the price discovery function which the spot rate can’t achieve. The forward rate is also a basis of all kinds of derivatives pricing. So the forward rate is chosen as the research object, therefore, has the very strong practical significance.Forward contract is still based on real trade principle. In addition to the domestic forward market, in Hong Kong, Singapore has an offshore NDF market, its price discovery function influence the domestic currency such as spot exchange rate and the forward contract. This paper analyses the successful experiences of the two markets. Then choose the forward discount rate as the data foundation which is an innovation. Through the granger causality test, impulse response function, error correction model test before and after the exchange rate reform in June,2010. It is concluded that in addition to a one-month forwards, the forward market pricing power significantly increased in3months,6months and12months contracts after the exchange rate reform in2010, and onshore markets can influence the offshore NDF market by information advantage, the series of reform measures for the development of RMB forward market is positive.By comparing the onshore and offshore RMB forward market development experience and empirical test results, it is concluded that our country can be ordered to promote market-oriented interest rate, to go out and introduction in during properly period, and to also need to practice good internal work. Shanghai free trade zone listed on2013, we can see the open in service field, together with the central bank article30points. The domestic forwards market reforms can be apply in the FTZ and then promote step by step.