Research On The Ownership Of RMB Exchange Rate Pricing Power And Its Price Discovery Based On The Term Structure Of Exchange Rate

In recent years,the establishment of the Hong Kong offshore currency market with the rapid development of expanded the influence of the offshore foreign exchange market,the non-deliverable forwards market,domestic RMB foreign exchange market together to form the "one country,two systems,three market" special pattern,for price formation and fluctuation of RMB exchange rate plays a more and more important role.The belonging of the RMB exchange rate pricing power directly affects the stability and development of China's foreign exchange market,study the effect of pricing power to the RMB and RMB foreign exchange market,make correct decisions for the RMB exchange rate mechanism,the development of offshore RMB foreign exchange market has important theoretical significance,to solve the problem of RMB internationalization potential provide theoretical guidance.This paper systematically reviews the research progress of RMB pricing power transfer and RMB price discovery at home and abroad,and introduces the development status of RMB foreign exchange market at home and abroad.On this basis,the relevant theories of exchange rate pricing power transfer and price discovery are sorted out,including term structure theory,pricing power theory and price discovery theory.Then,this paper focuses on the interaction perspective of domestic and foreign RMB foreign exchange markets under different term structures of exchange rates,selects data from October 2005 to December 2019,and conducts empirical research in two stages.Specifically,the time series of the two stages are tested and modeled respectively.The BEkk-Garch model and MIS model are used to analyze the pricing power of RMB exchange rate,and the following conclusions are drawn:First,from October 2005 to November 2014,the non-deliverable forward foreign exchange market had a stronger spillover effect on the domestic RMB foreign exchange market,with a high dynamic correlation.The influence of domestic RMB foreign exchange market on non-deliverable forward foreign exchange market has been increasing over time.However,when it comes to major financial events,such as the financial crisis,the widening fluctuation range of RMB exchange rate,and the trade war between China and the United States,the dynamic correlation coefficient among markets fluctuates sharply.In addition,the price discovery of non-deliverable forward foreign exchange market is stronger than the domestic RMB foreign exchange market,which is the information center of RMB exchange rate pricing.Second,from November 2014 to December 2019,we will study the term structure of exchange rate in the offshore RMB foreign exchange market in Hong Kong.It is found that the offshore market has the strongest spillover effect among the three markets,and the Hong Kong offshore market is stronger than the non-deliverable market.In addition,although the dynamic correlation coefficient among various markets fluctuates frequently,the correlation is always high.From the perspective of price discovery function,the price discovery in THE OFFSHORE RMB foreign exchange market in Hong Kong is stronger than that in the domestic RMB foreign exchange market and the non-deliverable forward foreign exchange market,and the pricing power of RMB exchange rate is transferred to the offshore RMB foreign exchange market in Hong Kong.Finally,some Suggestions are put forward based on the empirical results.Among them,it mainly includes improving the transparency of foreign exchange market information,mastering the pricing power of RMB exchange rate,enriching market trading varieties,optimizing the structure of market participants,and strengthening the ability of domestic RMB foreign exchange market to resist external risks.