Test On The Expected Formation Mode Of RMB Exchange Rate Based On Foreign Exchange Option Price

Since the "811" foreign exchange reform,the degree of RMB exchange rate marketization in China has been deepening,which has led to the constant enhancement of exchange rate flexibility.Furthermore,the impact of exchange rate expectations on RMB exchange rate has become increasingly significant.With the further promotion of RMB exchange rate marketization and the further development of RMB internationalization,the importance of guiding and managing exchange rate expectations has become increasingly prominent.In order to avoid the formation of strong unilateral expectation of exchange rate and realize two-way fluctuation of exchange rate,it is necessary to further differentiate exchange rate expectation and strengthen the guidance and management of exchange rate expectation.Under this background,this paper will conduct an empirical test on the formation of RMB exchange rate expectations,explore the formation characteristics of RMB exchange rate expectations,and then put forward specific suggestions for stabilizing the exchange rate expectations.This paper uses the method of combining theory with demonstration to carry out the research.First of all,the paper sorts out the relevant literature on the measurement methods and formation methods of exchange rate expectations,describes the research status,and finds out the appropriate measurement methods for the purpose of this study.Secondly,based on the USD/RMB(Hong Kong)option data in Wind database,the riskneutral probability density function is extracted from the MLN model,and its moments(mean,variance,skewness,kurtosis)are used as indicators of offshore RMB exchange rate expectations.Then,it tests the three expected formation methods of RMB exchange rate to clarify the formation characteristics of RMB exchange rate expectations.The research results show that RMB exchange rate expectation does not conform to the extrapolated and adaptive expectations characteristics,but has the regressive expectation characteristics,that is,RMB exchange rate will return to the fundamental exchange rate in the long term,and RMB exchange rate expectation reflects the economic fundamental information.In addition,the study also found that RMB foreign exchange options have a more effective price discovery function,that is,the price of RMB options can reflect the future change trend of RMB exchange rate in advance.Finally,based on the above research conclusions,this paper puts forward policy recommendations on stabilizing exchange rate expectations and enhancing the price discovery function of RMB options.