The Analysis To The Management Of Exchange Rate In Commercial Banks Based On The Pass-through Effect Of Exchange Rate

In the 1970s, the exchange rate fluctuated drastically in the international market after the breakdown of the Bretton wood system, which has been one of the most serious commercial risks threatening the commercial security of the world. While as the most important commercial agency, the safety and stability of commercial banks is not only closely related to the whole development of social economy but one of the core indicators to measure the maturity of commercial banks's management, that is, the ability of controlling exchange-rate risk in commercial banks. However, China has implemented fixed exchange rate system for long time, and Commercial Banks do not need to bear the risk of exchange rate, which leads to most of commercial banks lacking the management consciousness, qualified personnel and measures of dealing with the exchange-rate risks.With the development of economy and the deepening of financial reform, especially in 2005, the reform of marketization of exchange rate has been carried out and the volatility of RMB exchange rate increases to a large extent, and in view of this situation, the management ability of commercial banks has to step into a higher and brand-new level because they desire excellent management to promote the healthy and sustainable economic development. Therefore, how to improve the management of exchange rate risks in commercial banks is a problem demanding prompt solution. The thesis is mainly based on the management of exchange rate in commercial banks to analyze the current and potential problems from the viewpoint of the Pass-through Effect of Exchange Rate. Moreover, the author of the thesis adopt VaR model to measure the exchange rate risk, then achieves the methods to copy with or avoid these risks, what's more important, from theory to practice, the construction of exchange rate risk management will benefit a lot.The thesis is divided into 6 parts. The first part is to review the different analysis between domestic and abroad including its definition, management methods, econometric methods and VaR method, then narrates the aim and structure of the thesis. The second part is to analyze the relation between the Pass-through Effect of Exchange Rate and The Management of Exchange Rate Risk, which covers some relevant and significant definitions and introduction about different effect of price Conduction, namely, the distinguish between direct effect of price Conduction and indirect effect of price Conduction, and so on. The third part is about the overview on commercial banks covering the definition of exchange rate risk, classification and the current states of Chinese exchange rate risk. The fourth part is the relationship between price transmission mechanism and exchange rate risk of commercial bank. The fifth part is the most significant part, which mainly utilizes the empirical analysis to introduce VaR model, and apply it to analyze the exchange rate risk effectively. The last part is based on the policy and socially practice to summarize the methods and advice, from two aspects, that is the external commercial environment and internal control in commercial banks, to promote the healthy and sustainable economic development.