Empirical Analysis Of The Hedging Efficiency Between The Exchange And OTC Market

Through the investigation of the foreign exchange operations offoreign trade enterprises, based on the real cases and data, this paperanalysis several outstanding problems in the exchange rate risk hedgingwith forward product. As there is no currency futures in mainland market,this paper introduce the RMB futures of HK exchange, to compare withthe forward, by the optimal hedge ratio calculation with OLS, ECM andEGARCH model. Then I find that RMB forward hedging has a priceadvantage in the short term. But for the period more than half a year,RMB future hedging is more effective. To further analysis its reason, thispaper draws the conclusion: the supervision should put forward thecurrency future products which traded in the CFFEX, to improve theexchange rate risk management of foreign trade enterprises, and alsomake the complement of existing OTC forward product.