Theoretical and Empirical Analysis of the Impact of Renminbi Exchange Rate Formation Mechanism Reform on the Efficiency of Foreign Exchange Market Pricing
This paper studies the impact of the"8·11"exchange rate reform and related adjustments to the exchange rate pricing mechanism on the efficiency of the foreign exchange market pricing of the Renminbi in 2015.Using structural break tests,event studies,and DCC-GARCH models for empirical testing,the study finds that a series of reform or policy events has helped to enhance the information content of exchange rates and has had a positive impact on the pricing efficiency of the Renminbi forward foreign exchange market.Among these events,the market impact of the"8-11"exchange rate reform is the most significant,promoting pricing efficiency for different maturity periods of the Renminbi forward foreign exchange market.The impact of the reform or policy events on the pricing efficiency of the foreign exchange market varies with the maturity structure,with a greater ability to promote the improvement of the pricing efficiency of the longer-term maturity market.The market impact of the"8·11"exchange rate reform and related policy adjustments has a sustained release feature,helping to narrow the pricing efficiency gap between different maturity periods of the Renminbi forward foreign exchange market.
RMB Exchange RateReform of Exchange Rate Formation MechanismPricing Efficiency of Foreign Exchange Market
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