Dynamic Analysis Of The Unbiasedness Of The RMB Forward Exchange Rate

Using the ZA stationary test and the rolling co-integration test with structural breakpoints,this paper analyzes the relationship between RMB forward exchange rate and spot exchange rate for four different term periods from July 2005 to May 2016,and dynamically examine whether the RMB against the US dollar forward exchange rate is unbiased.The stationary test with the structural breakpoint shows that the remnant of the forward exchange rate and the spot exchange rate of different term is stable,which is necessary for unbiasedness of the forward exchange rate.The rolling co-integration test shows that the sufficient conditions for the unbiasedness of RMB forward exchange rate does not hold,and the longer the term is,the worse the forward exchange rate performs--besides the one-month forward exchange rate and spot exchange rate get the stable co-integration relationship,there is no co-integration relationship between the forward exchange rate and the spot exchange rate,and the co-integration coefficient is significantly different from one most of the time.In addition,the test result shows that the NDF exchange rate performs better in all aspects about the unbiasedness than the forward exchange rate of RMB in domestic inter-bank foreign exchange market.For the reason that the influence of unbiasedness is established,this paper selects the openness and the intervention of the central bank as the research object according to the factors that influence the establishment of traditional market effectiveness through the TVP-VAR method.The article finds that there is a time-varying relationship between the degree of openness,central bank intervention,and the difference between forward exchange rate and spot exchange rate,that is,the long-term forecasting error.Different periods will have different effects on exchange rate forecasting errors.Specifically,before the financial crisis and after August 2015,the effects of openness and central bank intervention on forecasting errors were more severe,and other time periods had weaker impacts.This kind of time-varying influence will lead to the fact that the forward exchange rate forecasting error is no longer a random fluctuation item,which in a certain degree causes the unbiasedness of the forward exchange rate.