Research On RMB Index And Empirical Study

With the deepening of the internationalization of the Renminbi, the trend of the competition into the international market with the world mainstream currency on the value has been intensified. All kinds of the currencies, however, with the internationalization of the RMB in investment products but slow development lags behind, in the face of international foreign exchange market is difficult to predict the enormous financial risks and hedging and risk aversion of Renminbi assets demand is becoming stronger. To meet these requirements, the first thing is to design a set of index can reflect the comprehensive competitiveness and the rule of international market operation.For this purpose, at beginning this paper analyzes index of six kinds of currencies with higher recognition on the international foreign exchange market,respectively from the sample selection, the determination of base and the base value,weight design and calculation formula of four dimensions in-depth anatomy, then return to the domestic index compiled by the practice situation to conduct a comprehensive summary of the Renminbi, to find the shortcomings and strengths, the index compiled by the beneficial reference can be found in this paper. On this basis,the deep construct index compiled by the theory platform of RMB, deeply analyzes whether the index can achieve information, investment, evaluation function, and explain the existence of the index monitoring function and effectiveness, and aim at function implementation, setting the Renminbi index to follow the purpose of clarity,on behalf of universality, four principles of stable scientific rationality and validity,and under the principle of preparation, such as weight and the weight is compiled the index, and estimates the 120 months of 2006-2015 index data, to analyze the index of the macro trend for 10 years. Finally, the empirical study of the index performed. First of the two index of ARMA prediction model is set up respectively, inspection found that the index produced by this paper has stronger fitting effect; Then the RMB and the dollar index with single root ADF test, EG co integration test and VAR model to estimate, found that there exists a long-term equilibrium between the two, and is closely relative to the short-term moves, continue to use Granger causality test, found each other cause and effect. Currency index of causal can reflect the economicsymbiosis and complementary, the two countries over the past decade, the Renminbi and the dollar value of recessive symbiosis is bigger than apparent competition force.When choosing the index and designing weights, this paper innovatively takes the impact of international foreign exchange market and commodity market on money market liquidity into consideration, drawing lessons from foreign advanced experience of the index at the same time, the innovative compiled the index weight such as RMB. Although currency index emphasis more on timeliness, immediacy index, operation, this article is limited by conditions, not having access to real-time data index in this paper, and on the whole in this paper, the index, using index of the foreign exchange market of RMB for the final preparation and derivatives development, provides a certain theoretical complement.