Risk Assessment Of RMB Exchage Rate In The Wide Event Window

RMB exchange rate has become a hot issue of international economics. With the increases of the value, RMB doesn't only fluctuate according to US dollar any more, but according to a basket of currencies. Its changes have an important influence on money policy, import and export and financial market. So we'll get some guidance in researching the reform of RMB exchange rate system about the changes of RMB/US dollar and RMB/Yen. It needs to have a subjective and correct analysis on the fluctuating and moving direction of the exchange rate.This paper has selected the daily samples of the exchange rates of RMB to US dollar and RMB to Yen in recent two years, and analyses their risk and returns. This paper is divided into four sections. The background and situation are introduced in the first section, all kinds of modes of time series analysis are mainly stated in the second section, especially GARCH model, in the third section, risk and return of RMB/Yen exchange rate are analyzed under disturbance of two events in the wide event window, the results are that both risk and return improve after the changes of RMB/Yen exchange rate, but risk and return fall after improving saving rate, in the four section, risk changes of RMB/US dollar and RMB/Yen exchange rate are analyzed and compared by using GARCH model. The results are that return level of RMB/US dollar adds and risk level of RMB/Yen exchange rate falls. We come to the conclusion that risk and return of RMB/Yen and RMB/US dollar change more after increasing the value change more than before.