The Empirical Analysis Of The Impact Of RMB Forward Price

In the past 40 years of reform and opening up,China’s economy has developed rapidly,and the influence of the RMB in the international currency has been increasing.People’s attention to the RMB exchange rate has also increased.The acceleration of China’s exchange rate marketization has made the RMB exchange rate fluctuations become normal.Domestic and foreign scholars have discussed and analyzed the RMB exchange rate from various angles such as theory and practice,macro and micro,and the real price of the forward exchange rate and its theoretical price.Consistency and deviation are an important issue that financial theory has always paid attention to.Since China’s renminbi price has a close relationship with the US dollar for a long time,and the recent Sino-US trade war has caused more attention to the Sino-US exchange rate,this article uses the forward price of the renminbi against the US dollar.The research object mainly includes three parts:The first part introduces the theoretical basis of the forward exchange rate decision,and uses the theory of interest rate parity to be used as the entry point of this paper.The second part is empirical analysis.Firstly,it introduces the development and current situation of the domestic and foreign RMB forward foreign exchange market.Firstly,it studies the theory of interest rate parity through descriptive statistics,Johansen cointegration test,OLS regression,VAR model,and impulse response and variance decomposition.The impact of offshore non-deliverable forward market and Hong Kong offshore RMB forward market on RMB forward pricing.Then,according to the theory of interest rate parity of the toss,the deviation index of China-US interest rate parity is constructed,and the influence of risk and capital control factors on the pricing deviation of different time periods is studied.The third part is the research results and related recommendations of this paper.The empirical results show that both offshore forward markets have an impact on domestic RMB forward pricing,and the impact increases with the increase of research period.The offshore non-deliverable RMB forward market and the offshore RMB forward market in Hong Kong,The prices of December and June have the greatest impact on domestic forward prices,but interest rate parity is the main factor affecting domestic forward prices and has a greater impact in the short term;secondly,January,March and June are selected.According to the December data,it is found that the December interest rate parity has the largest deviation and the largest fluctuation;the introduced risk factors and the deviation between the capital control factors and the forward pricing have a long-term equilibrium relationship,and the longer the period,the more stable the impact,12 The monthly data regression equation has the best fitting effect.