Renminbi index
With the deepening of the reform of exchange rate system and the marketization of exchange rate formation mechanism, it is urgent to develop RMB derivatives including index derivatives to control risks. The timely launch of RMB index and its derivatives is conducive to seizing market opportunities, which is particularly important in the fierce international financial market.
Data of RMB exchange rate index, calculation method of RMB exchange rate index. Generally speaking, the exchange rate reflects the price relationship between two currencies. The RMB exchange rate index uses one currency to represent the price of another currency.
1. Under the floating exchange rate system, the formation and change of exchange rate is the result of the relationship between supply and demand in the foreign exchange market and its fluctuation. Under the fixed exchange rate system, the formation and change of exchange rate is the result of government policies and adjustments. The RMB exchange rate index makes it possible for the market or official exchange rate to be different from the reasonable parity relationship between the corresponding two currencies.
The introduction of RMB exchange rate index aims to provide a comprehensive foreign exchange benchmark and contract target for launching foreign exchange futures and option derivatives with similar indexes in the future. Therefore, it is necessary to demonstrate the main functions of RMB index: to provide comprehensive signals of foreign exchange market to macro-economy, to provide investors with hedging tools through developing RMB index derivatives, and to effectively improve the information efficiency of financial markets. Some domestic scholars have also made relevant attempts. In July 2006, the First Financial Effective Exchange Rate Research Group of China Business News proposed to compile the First Financial Index, including the nominal effective exchange rate (NEER) index and the real effective exchange rate (REER) index. The base period of the index is 65438+200510.3, that is, the first trading day of 2005, and the sample currencies are determined as a basket of major currencies, such as US dollar, euro, Japanese yen, Korean won 1 1, Singapore dollar, British pound, ringgit, ruble, Australian dollar, Thai baht and so on. The weights are calculated according to the trade weights of China's major trading partners published by the Bank for International Settlements (BIS).
CNYX designed by Beihang School of Economics and Management draws on the successful experience of the US dollar index. Starting from the development needs of the all-round capital market system, the RMB index should have the functions of informationization, investment and evaluation.
Therefore, we should take the current account demand as the main body and give consideration to the capital account demand. According to the above principles, the influence of each currency in the "currency basket" based on the RMB exchange rate formation mechanism on China's trade and foreign direct investment is constructed, and the RMB index is constructed to describe the overall trend of RMB against major currencies. .
Second, the sample of money.
There are eight sample currencies: US dollar, Euro, Japanese yen, Korean won, New Taiwan dollar, Hong Kong dollar, British pound and Singapore dollar. Select July 2, 20051(the exchange is changed to the dividing line) as the base period, and determine the base I0= 100.