Empirical Analysis Of Price Discovery On Forward Exchange Market Of RMB

On July 21,2005,a public notice of the people's bank of China,the yuan introduced on the basis of market supply and demand,reference a "basket" currency adjustment,managed floating exchange rate system.With China's exchange rate system,gradually improve the continuous development of the offshore yuan market,the original currency administrative protection measures will gradually disappear,the influence factors of exchange rate changes is becoming more and more significant increase in uncertainty,related subject will have to directly face the challenges brought about by the exchange rate risk,use derivatives to avoid exchange rate risk demand is also growing,improve and perfect the development of RMB derivatives market has increasingly become an important part of the financial market inChina.In the foreign exchange derivatives markets,the forward market is the largest volume and the longest is also the most mature market operation,will inevitably become the main market,exchange rate risk aversion in offset exchange rate changes on play an important role on the negative impact of the economy,thus establish a perfect effective forward market is a need to solve the problem in the process of revaluation.In this paper,on the basis of combing the related literature at home and abroad discussed the connotation of the forward market price discovery function of the yuan on foreign exchanges,namely the relationship between the forward market exchange rate,and the relationship between the forwards market.After reviewed the development course of China's foreign exchange system,introduces the domestic and overseas RMB currency forwards market development and the existing problems.Then with the help of stability test,cointegration test,vector autoregressive model,impulse response analysis and variance decomposition analysis of econometric methods,such as to the guide to do empirical analysis between the price of the forward market,combined with the result of empirical analysis and problem of the forward market in our country puts forward countermeasures and Suggestions to improve domestic forwardsmarketconstruction.In the forward market development is relatively lagging,price function by a certain degree of inhibition.There are many problems in the forward market development,to solve these problems,push forward market become the center of the RMB exchange rate pricing in need to do the following:further perfecting the spot trading market,gradually relax "with real need for the principle of"policy restriction,allowing Banks to customer forward to written for margin trading,we will accelerate reform of the marketization of exchange rate and interest rate marketization reform,development onshore NDF market.