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The Empirical Research of Correlation between Foreign Exchange Market with the Launch of CNH Market

Author: ZhangYu
Tutor: ChenShanAng
School: Xiamen University
Course: Investment
Keywords: NDF CNY CNH
CLC: F832.6
Type: Master's thesis
Year: 2014
Downloads: 5
Quote: 0
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Abstract


The mistery of pricing power between offshore NDF and onshore CNY has been haunting the researcher of both at home and abroad. Giving the strict exchange rate regulation and capital controls, onshore CNY and offshore NDF divide to two separate markets. Thus, the information flow is blocked, and the exchange rate formation mechanism do not sound. For each and every reform of the exchange rate does great influence on the the exchange rate formation mechanism and also complicate the relationship between NDF and CNY, scholar pay a great effort on the foreign exchange market, which behave somehow different according to different period of time. With positive exchange rate reform policy, Chinese government consciously accelerates the process of RMB internationalization. The RMB spot settlement business is launched in Hongkong RMB offshore center where CNH is introduced. As one of the important strategy of RMB internationalization, CNH market enables the derivatives market of diversification, foreign exchange market of communication, RMB pricing of leverage.The thesis is based on the forward exchange rate pricing theory, Forward exchange rate pricing theory and the forward market and price discovery theory mechanism. Combined with previous research results related to the foreign exchange market, this thesis employ the VAR model as analysis basis and the granger analysis, the impulse response test and variance decomposition in order to examine the communication of foreign exchange market before and after the introduction of CNH both quantitatively and qualitatively. For the data selection, this thesis pick select the CNY and three kinds of term NDF at the first part, and CNY, CNH with three kinds of term NDF at the second part. The results show the introduction of CNH is of meaning to the pricing of foreign exchange market:before the introduction of CNH, CNY market guides NDF markets unidirectionally, while three market melt into one group after the introduction. The information flow become bidirectional between every market. CNH market becomes the substitution of CNY and also the one who affect NDF market most. At the meantime, CNY market affects both NDF and CNH markets..It is worthwhile to note that CNY maintains independent whether CNH market is introduced or not.In the end, the conclusion of thesis describes the test result and unscrambles the practical significance of it. Base on the effect of foreign exchange market, writer summarizes several reference opinions to the construction of RMB foreign exchange market and the development of RMB internationalization.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Exchange rate,foreign financial relations
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