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Offshore and onshore RMB derivatives market and the associated

Author: FeiLiQiang
Tutor: XuShaoQiang
School: Fudan University
Course: Finance
Keywords: NDF derivatives market correlation
CLC: F832.6
Type: Master's thesis
Year: 2008
Downloads: 261
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Abstract


In this paper, we studied the off-shore and on-shore RMB derivatives market and the interrelation between them. This paper we analyzed the situations of the international FX market and FX derivatives market. Taking the Korea as an example, we studied the experience of the FX derivatives development in Asian emerging market. We found that the opening of the NDF market will not bring the negative impacts to the volatilities and fundamentals of the FX markets. Through the NDF market, both the domestic and foreign investors can a channel to hedge risks. Taking the Australia as an example, we studied the process which the Australian dollar NDF market turned to be the DF market orderly. We found that the transitions from the NDF market to the DF market benefited from the market participants’ trading skills and experiences.We also studied the characteristics of the RMB NDF market, from three areas, which were liquidity, volatility, and the premium (discount). We found that the liquidity of RMB NDF market has improved a lot, though it was still significantly lower than the JPY and the EUR. From 2000 to 2002, there is a premium on the RMB NDF market, but since November 2002, accompanied by strengthen of the RMB appreciation expectation, the RMB NDF market turned to be a trend of discount.Using the RMB NDF FX rates, the DF FX rates, and the spot FX rates during Oct. 21, 2005 and Jun. 30, 2008, we applied the BEKK model to find that there existed a two-way information transmission mechanism between the off-shore RMB derivatives market and the RMB FX spot market. After the RMB exchange rate system reform, there was an interrelation between the off-shore and on-shore RMB derivatives pricing, and the on-shore market began to have a gradually increasing influence.

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