The Study On The Forward Exchange Rate Of CNY Based On Interest Rate Parity Theory

It is July 21^st in 2005 that is an important day in the history of the reform of the exchange rate regime of China. The market-oriented reform of the exchange rate was established on that day. A sound forward exchange market is required to realize the marketization of the formation mechanism of RMB exchange rate.This thesis does an empirical research based on the Interest Rate Parity theory, studying the correlation and cause- effect relation of the actual forward exchange rate and the theoretical forward exchange rate, describing the fluctuation feature of the spot exchange rate and forward exchange rate, and analyzing the relation between foreign exchange yield and interest rate. The 3-month RMB forward exchange rate provided by the Industrial and Commercial Bank of China (ICBC) is thought to be identified with the Interest Rate Parity theory best, compared with the 3-month RMB forward exchange rate, the 6-month RMB forward exchange rate and the 12-month RMB forward exchange rate of ICBC. Its deviation from the spot rate is lowest, so it can be used as an indicator of future movements of the foreign spot exchange rate. At the end of the paper, the policy recommendations to perfect the forward exchange market are proposed.There are two innovations showed in the thesis. One is the selection of the subject, the other one is the way of analyzing. The representatiation of the innovating subject is that there are almost no scholars who conduct systematic researches on the prices made by certain domestic market-maker of the forward exchange market, the deviations of domestic pricing mechanism and their volatility characteristics. So the sense of the thesis is very realistic and significant. The approach to the research is also innovating. It is reflected in the use of time-series processing methods, such as ADF test, EG co-integration test, Johansen co-integration test, paired Granger causality test, autoregressive conditional heteroskedasticity model. So the result of the research is very scientific and accuracy.