Hedging Model Research Of RMB Derivatives

With the further development of RMB internationalization, the range of RMB exchange rate fluctuation will be bigger and bigger, which not only makes the hedging more important, but also make it more difficult. On the other hand, the market of RMB derivatives will better, which offers more convenience to RMB hedging. On above backgrounds, the further research of RMB hedging model will make sense.The research of hedging model mainly includes hedging timing, hedging strategy and hedging ratio, in present, most researches were focused on hedging ratio, this article expand the research region, focused on research of hedging timing and strategy.In the part of exchange rate forecasting, the method of trend splitting was adopted and the forecasting model including long-term trend was set up.During the process of choosing long-term trend, two kinds of long-term trend was chose—quadric curve and Logistic curve.Finally,the Logistic Curve was adopted.During the process of setting up hedging decision model,the method of Interval Estimation was adopted,which made the range of estimation results can be calculated.During the process of hedging ratio research,ECM model and Long-term hedging model was adopted and the results were different according to different derivatives.At the end of this article,the effect of different derivatives was evaluated.The main conclusions of this article are as follows:(1) Logistic Curve can be fit the long-term trend of RMB-USD exchange rate better,the forecasting model which including this curve has the better effect of long-term forecasting;(2)When the decision of hedging was made at any point,the cut-off point can be fixed based on the forecasting value of the last term plus the cost of hedging;(3)RMB future has the better hedging effect,but the process is more complicated,meanwhile,the RMB NDF has worse hedging effect,but the process is much more simple.