Rmb Exchange Rate Forecasting Based On The Offshore Derivatives

At present, the world's trading and capital transaction become more frequent, the dependence of different economies has gradually deepened, global economic integration is coming. The exchange rate as a link between the two different economics plays a more essential role. From 2005 to the end of 2014, the RMB has appreciated by 34%, the RMB exchange rate has taken the attention of all over the world. Earlier this year, the U.S. economic is recovering, the U. S. dollar appreciated, but the Chinese domestic capital tightening, capital outflow, the devaluation of the RMB pressure China began.The first chapter is the introduction of this dissertation, mainly introduces the background and significance of this papers and the topic, literature review, research ideas and methods.The second chapter introduces the development of the offshore market, from the formation and development of the history of Hongkong offshore market, introduces types of offshore market's derivatives. There is a broadwise, longitudinal introduce to the offshore market. Analysis the price determination mechanism for every derivative, and then analyzes them separately on the spot rate prediction ability, finally choose the best derivatives to forecast the spot exchange rate.The third chapter from the analysis of linkage between the spot and futures, theory prediction the relationship between futures and spot rate, the relationship finally get the offshore forward.According to the interest rate parity theory, the forward rate is the spot rate unbiased estimator. That is to say, the forward exchange rate pricing is reasonable affects the expectations and the tendency of the spot exchange rate. Therefore, this paper takes the relationship between spot and forward exchange rate the foreign inspection by NDF and forward exchange rate prediction of RMB spot exchange rate as the main object of study has a certain theoretical significance and practical value.The fourth chapter is the quantitative method of the prediction, use the nondeliverable forward to forecast the RMB. This article uses smooth unit root test, cointegration stability test, integration test, cointegration test, Granger causality test, impulse response analysis method to do the analysis. And we found that the forward rate and spot rate are cointegrated.The fifth chapter is the start of The empirical analysis and the predict, through the study of previous data, we draw the conclusion for prediction model for VAR model, the research on VAR related briefly, the principle of simple introduction of VAR model, and into the data, using MATLAB software to resume model, predict and analyze.The sixth chapter is the practical significance of this part, how to accurately predict long-term, through the spot price trend, through the use of foreign exchange derivatives to hedge, to circumvent the exchange rate risk, and foreign exchange market, offshore derivatives markets, in the offshore market construction with the relevant reform suggestions.