Research On The Hedging Function Of Renminbi

"Safe-haven currency" refers to the currency and currency assets held in the international asset portfolio that can effectively prevent the overall systemic risks of the world economy.At present,the world’s recognized safe-haven currencies are mainly Swiss francs,US dollars and Japanese yen.Since the reform and opening up,the rapid development of China’s economy and the continuous advancement of the internationalization of the renminbi have led to a substantial increase in the trade volume of commodities with renminbi as the settlement currency.The proportion of renminbi in the world’s total foreign exchange reserves has been increasing year by year.The status of international settlement currency and international reserve currency has been significantly improved,and the effect of internationalization has been remarkable.The rise of China’s economy and the outbreak of the new crown pneumonia epidemic have made whether the renminbi can play the role of a safe-haven currency has become the focus of research on safe-haven currencies in recent years.The occurrence of uncertain events such as Sino-US trade friction and the new crown epidemic has profoundly changed the world economic pattern.The fluctuation of the international financial market has increased,the demand for hedging by international investors has increased,and international capital flows have been seriously affected.It is of great significance to have the function of hedging.If the renminbi has a safe-haven function,what impact does the renminbi have on China and the world economy as a safe-haven currency? Against the backdrop of the Sino-US trade war and the ongoing COVID-19 epidemic,what is the flow of international capital? What impact will short-term cross-border capital flows have on my country’s foreign exchange market? From a theoretical point of view,answering the above questions can enrich the connotation of the theory of international capital flows;enrich the research results in the field of domestic safe-haven currencies;From a practical point of view,answering the above questions will help international investors to formulate reasonable and effective investment plans,reduce investment risks caused by major events impacting the international financial market;help monetary authorities to understand international capital flows during financial turmoil,predict and predict economic situation,and then adopt relevant currency and foreign exchange intervention measures to maintain the stability of my country’s financial market and prevent the risk of abnormal cross-border capital flows;provide feasible policy suggestions for relevant departments to promote and improve the renminbi hedging function and facilitate the internationalization of the renminbi.This paper is divided into six parts,of which the first chapter is the introduction,which mainly includes the background and significance of the research,literature review,research ideas and methods,innovations and deficiencies,and so on.In the literature review part of this paper,from five aspects,including the definition of safe-haven currency,the identification method of safe-haven currency,the cause analysis of the function of safe-haven currency,the research on the existence of renminbi’s safe-haven function,and the influence of the status of safe-haven currency at home and abroad.The literature on safe-haven currencies is systematically sorted out,and the innovations of this paper are put forward in the literature review section: first,the quantile regression model is established as the core research method of this paper;second,the panic index that reflects investors’ risk aversion And foreign exchange options risk reversal factors are included in the research on the risk-avoidance function of the renminbi;thirdly,the currencies of emerging economies and some other currencies are also included in the comparison scope of the renminbi’s hedging function,and its risk-avoiding function is comprehensively investigated;fourthly,the staged inspection The renminbi’s hedging function during high-risk periods such as the new crown epidemic.The second chapter is the related concepts and theoretical basis involved in the research of renminbi hedging function,and provides theoretical support for the research of renminbi hedging function.The third chapter is the risk fear index and safe-haven currency.By analyzing the trend of VIX and combining with the time of major events,the research period of this paper is defined,and the function of renminbi hedging is preliminarily explored.The fourth chapter is the model setting and empirical research of the renminbi hedging function,using the OLS model and the quantile regression model to test the renminbi hedging function.The fifth chapter is about the impact of traditional safe-haven currencies on the economy.By sorting out the impact of traditional safe-haven currencies on the world and domestic economy,it provides experience and reference for the central bank to deal with the impact of the renminbi’s safe-haven function.The sixth chapter provides countermeasures and suggestions for improving the risk-avoiding function of renminbi.In this paper,24 currencies including emerging market countries are included in the research scope,and the renminbi hedging function is tested through the renminbi spot exchange rate and risk reversal indicators respectively.First,by analyzing the correlation between the spot exchange rate of the renminbi against 24 currencies and the risk panic index during the financial panic period,the risk aversion function of the renminbi is judged.currency,but better than that of most developed and emerging economies;the offshore renminbi also showed certain characteristics of a safe-haven currency during the new crown epidemic.Then,from the perspective of currency options,the ordinary least squares method and quantile regression model are used to empirically test the hedging function of the onshore and offshore renminbi in the turbulent global financial market.The results of OLS mean analysis and quantile extreme value analysis both show that the onshore renminbi is It has a good hedging function during the new crown pneumonia epidemic,and its hedging ability is second only to the Japanese yen and the Malaysian ringgit.Finally,according to the research results,the following countermeasures and suggestions are put forward:(1)Speed up the construction of offshore market infrastructure,develop the offshore renminbi market,build a high-quality capital market,gradually relax the restrictions on the fluctuation range of the renminbi exchange rate,and take multiple measures to expand the scope of use of the renminbi to help the renminbi internationalization process.(2)Improve the two-in-one management framework of "macro-prudential + micro-supervision" in the foreign exchange market,strengthen two-way monitoring and risk assessment of cross-border capital flows and foreign exchange markets,and adopt appropriate capital controls to prevent excessive expansion of national credit due to surge in capital inflows,Promote the formation of asset price bubbles;and prevent the economic chaos caused by large-scale capital outflows after the crisis is over,and avoid the risk of large inflows and outflows of cross-border capital.(3)Further deepen the market-oriented reform of the exchange rate,and improve the tolerance and adaptability of short-term fluctuations in the renminbi exchange rate.Strengthen the market-determined exchange rate,enhance the two-way floating flexibility of the renminbi exchange rate,provide more risk management tools for international investors,and meet investors’ risk aversion needs.(4)Continue to consolidate and expand the achievements of epidemic prevention and control and economic and social development,accelerate the construction of a new development pattern with domestic circulation as the main body and domestic and international dual circulations mutually reinforcing,consolidate economic fundamentals,and keep the renminbi exchange rate basically stable.