Offshore RMB Derivatives Transaction

Our country is in the transition period when the forming mechanism of the exchange rate is being transformed into marketization, the demand for RMB derivative product -- the main tool evading RMB exchange rate risk become particularly urgent. The market of derivatives of our country is still at primary stage of development, but the trade of external RMB derivatives grows vigorously in recent years, having already begun to exert a big influence on the different fields of the domestic foreign exchange market, exchange rate pricing right, exchanging rate fluctuation etc., making the urgency of research on external RMB derivatives further more prominent.This thesis analyze how to utilize external RMB Non-deliverable Forwards go on hedge and arbitrage combination on the basis of the introduction of RMB derivatives at first shut. Secondly the method of ordinary least squares is adopted to analyze the related intensity of external RMB Non-deliverable Forwards and economic factors of our country, the result indicates that the foreign exchange reserve is the most important basic factor of influencing the exchange rate of RMB NDF, gross domestic product takes second place, and the influence of monthly trade surplus and the increase rate of CPI index on RMB NDF is limited. Thirdly two kinds of methods are adopted to probe into the mutual guide relations between the exchange rate of RMB NDF and RMB Forward: one is taking the same day's offer of the exchange rate, the offer in the first bargain day and the offer in first two bargain days as dependent variables to analyze the explanation ability to the change of another exchange rate, the result shows a very close connection between the NDF exchange rate and the forward exchange rate, and the NDF exchange rate impact on the forward exchange rate exceeded the forward exchange rate impact on the NDF exchange rate correctly. Another one is using Granger test to analyze two exchange rates in cause and effect connection economically. The result indicates that the change of the external NDF price is the Granger reason of the change of the forward exchange rate, but the latter is not a Granger reason of the former.At the end of the article, the principal long-term meaning and supervision difficult problems faced of opening external RMB NDF transaction are explained, then some policy recommendations of opening external RMB NDF transaction are provided.