Empirical Evidence of the Spot and the Forward Exchange Rates in China
Under conditions of risk neutrality and rational expectations in the foreign exchange market,there should be a one-to-one relationship between the forward rate and the corresponding future spot rate.In this article we examine the daily structure of the spot and forward exchange rates in China using cointegration techniques and VEC model.The resuits show that the renminbi spot rate and the forward exchange rate have a unit root,with Ⅰ(1),implying long-term stable relationship between the forward and the corresponding future spot rates in China.Moreover,the VEC model proved that the short-term forward rate has more effect on the future spot exchange rate.These results may provide strong and robust evidence in support of the achievement that Chinese foreign exchange has become more market-oriented.
Cointegration Forward exchange rate Granger causality FRUH
Dong SUN Tao LI
School of Management,North China Electric Power University,P.R.China,102206
国际会议
长沙
英文
552-558
2008-10-28（万方平台首次上网日期，不代表论文的发表时间）