Research On The Strategy Of RMB Futures Hedging Exchange Rate Risk

Since the collapse of the Bretton Woods system,the floating exchange rate has stepped onto the international stage.The exchange rate changes more frequently than before,and the volatility is wider and wider.In addition,the one belt,one road,and the "one belt" strategy have been applied to our country.Our trade with more and more countries has been more frequent than before.It is very vulnerable to frequent fluctuations in the RMB exchange rate.In addition,under the background of economic globalization,RMB,which is included in SDR,is playing a higher and higher role in the international market.RMB is more and more closely linked with other currencies.The fluctuation of exchange rate has a great impact on the development of foreign trade in China,and is not conducive to the stability of China’s financial market.The emergence of RMB futures can hedge the risk of exchange rate fluctuation to a certain extent.On September 17,2012,the Hong Kong Stock Exchange launched the world’s first deliverable US dollar RMB futures product,which filled in the blank of offshore RMB futures market,and provided Chinese mainland enterprises and financial institutions with tools to hedge exchange rate risk by using RMB futures.Based on this background,this paper selects 1760 observations from January 1,2013 to February 28,2020 to study the optimal strategy of RMB futures hedging exchange rate risk.By constructing OLS,B-VAR,VECM and GARCH models,the optimal hedging ratio of US dollar to RMB futures is estimated.The empirical results show that,compared with other models,GARCH model has the best effect,the hedging effect is significantly higher than other portfolio,and it can reduce the risk of portfolio.The hedge ratio calculated by this model is optimal in all aspects.Among the four hedging models,the order of the four models is: GARCH,OLS,B-VAR,VECM.No matter under the condition of risk minimization or utility maximization,the hedging effect of the hedge ratio estimated by GARCH model is the best.Then,in practice,no matter the risk averse or the income preference,they can use the ratiocalculated by this model to hedge the exchange rate risk.