Research On The Influence Of The RMB Exchange Rate System Reform To The Exchange Rate Volatility

Exchange rate is the link between different national or district currencies,the core issue of a whole international finance and an important bridge between a country and the other economies,and the exchange rate system made for the principle,method,mode and mechanism of identification,maintenance,adjustment and management provisions of the system,the exchange rate system directly determines the related trend and changes in the exchange rate.Thereby affecting foreign exchange market.Since the reform and opening up,the evolution of the RMB exchange rate system has staged characteristics and at the beginning of the reform is often accompanied by sharp fluctuations in the exchange rate,and China is in a critical period of transition,which bring more and more attention.This paper firstly combed the selected topic background,the related literature and theoretical basis,expounds the reform of the RMB exchange rate system and several major reform,and then to the central parity of exchange rate,degree of data for exploring object,with the RMB exchange rate system reform since the reform and opening for the mode,select since 1994,the euro,pound,dollar,yen.it can be divided into three periods,analysis of the situation.Choosing the return of the rate of time series as a period of time of study,and found which accord with rush thick tail,volatility clustering and steady.There is little liquidity and absolute information symmetry in the market,so finally through the analysis of the phase comparison of the GARCH model before and after the reform of model parameters and statistics to investigate the impact of the RMB exchange rate system reform on exchange rate fluctuations.research finding:2005 after the reform of the exchange rate against the dollar and the dollar weakened by the early wave of information,rely on the dollar against the euro,pound and yen fluctuations on early the new income volatility becomes larger,exchange rate system is no longer pegged to the dollar,which reduced the degree of dollar's reference and increased the other currencies,the RMB against the U.S.dollar,pound and dollar market volatility behavior of intermediate exchange rate more stable against the euro and the yen exchange rate intermediate the impact of market volatility.Both the choose of currency's weight and volatility,RMB exchange rate system has more flexible.After the 2015 exchange rate reform the fluctuations are enhanced by the early information,and in addition to Hong Kong,fluctuation of RMB against other currencies more intense.Opening rate mainly refer to the last closing price,which increased the memory of market,the relation with the previous price change,fluctuation range and elasticity become larger,which suggest that the government intervention dramatically reduced.Besides,the model of alpha + beta values are very close to 1,the overall market at different phase have maintained a good ability of self stabilization.so that the impact of RMB exchange rate system reform on China foreign exchange market exchange rate fluctuations is exchange rate volatility is greater,the marketization of the exchange rate reform is stronger,and the exchange rate system has always been carefully maintained a strong self stability.Finally from the impact of the RMB exchange rate system reform orientation and on China exchange rate fluctuations to analyze the reform of the foreign exchange market on the influence of related objects.