The Exploratin Of The Abnormal Manifestations And Its Causes Of The Forward Exchange Rate Of RMB On The Forward Market In China

This paper is based on the Interest rate parity theory,and its main study object isyuan-dollar forward exchange rate.Its aim is to discuss whether the covered interestrate parity theory is established on the inter-bank foreign exchange forward marketand the related influencing factors.In this paper, the main research method is ADF unitroot test,DW test and TGARCH-M model,etc.The research results impliy that in theforward market,the forward exchange rates for such trade deadlines as one week,onemonth,there months,nine months and twelve months all have a deviation from theinterest rate parity theory.It means that the interest rate parity on the forward marketin our country is not established.The deviation shows two characteristics.The first oneis that the longer the trading deadline is,the bigger the deviation is.The second one isthat in different periods,the deviation trends of all types of forward exchange rates arebasically consistent.By analyzing the importance of the five factors that influence thedeviation,this paper mainly focused on the research of the influence of the riskpremium and Investors’ over-reaction.The result shows that on the domestic forwardmarket,the influence of the Investors’ over-reaction to the deviation is extremelysignificant,however the risk premium’s is not obvious.That means that the investors’over-reaction,to a great extent, lead to the deviation of interest rate parity on theforward market in our country.