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The Efficiency Hypothesis Testing of the Offshore RMB Foreign Exchange Market
Date Issued
2013
Date
2013
Author(s)
Wu, Feng-Yang
Abstract
In 2013, the Offshore RMB(CNH) has officially became the Ninth largest trading currency and it now plays a more decisive role than ever before in the global Foreign Exchange (FX) Market. This research primarily aims at conducting an empirical analysis on the degree of mobility of Offshore RMB by taking the “Interest Rate Parity theorem”.. Additionally, this research also examines whether CNH_DF, comparing to RMB NDF, is a more appropriate hedging instrument for enterprises?.
The following results are concluded: Covered Interest Parity (CIP) theory holds
while Uncovered Interest Parity (UIP) theory does not, indicating that the offshore RMB is highly liquidity. A cointegration relationship cannot be found between Offshore RMB spot exchange rate and forward exchange rate which means the Offshore FX market is inefficient. Bidirectional Granger causality is observed between CNH spot exchange rate and CNH Deliverable Forward exchange rate while one-way Granger causality is observed between CNH spot exchange rate and CNH Non-Deliverable Forward exchange rate. In addition, the explanatory power of CNH spot exchange rate for CNH Deliverable Forward exchange rate (DF) is higher than the explanatory power of CNH spot exchange rate for Non-Deliverable Forward exchange rate (NDF).
Accordingly, the result of empirical analysis in this study suggests that the Deliverable Forward (CNH_DF) is a more appropriate offshore RMB hedging instrument for enterprises.
The following results are concluded: Covered Interest Parity (CIP) theory holds
while Uncovered Interest Parity (UIP) theory does not, indicating that the offshore RMB is highly liquidity. A cointegration relationship cannot be found between Offshore RMB spot exchange rate and forward exchange rate which means the Offshore FX market is inefficient. Bidirectional Granger causality is observed between CNH spot exchange rate and CNH Deliverable Forward exchange rate while one-way Granger causality is observed between CNH spot exchange rate and CNH Non-Deliverable Forward exchange rate. In addition, the explanatory power of CNH spot exchange rate for CNH Deliverable Forward exchange rate (DF) is higher than the explanatory power of CNH spot exchange rate for Non-Deliverable Forward exchange rate (NDF).
Accordingly, the result of empirical analysis in this study suggests that the Deliverable Forward (CNH_DF) is a more appropriate offshore RMB hedging instrument for enterprises.
Subjects
人民幣
遠期外匯
NDF
Granger因果關係
自我向量迴歸模型(VAR)
Johansen共整合
Type
thesis
File(s)
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Name
ntu-102-P00323012-1.pdf
Size
23.54 KB
Format
Adobe PDF
Checksum
(MD5):ba106d32e3b84a6e36a8206e60acff83