A Study on Chinese Yuan Index and its Derivatives

11 Pages Posted: 13 Jan 2010 Last revised: 15 Jan 2010

See all articles by Lanfen Liu

Lanfen Liu

Beihang University (BUAA) - School of Economic and Management Science

Liyan Han

Beihang University (BUAA) - School of Economic and Management Science

Date Written: January 13, 2010

Abstract

Following the successful experience of USDX, this paper gives a profile of how to design a foreign exchange index for China and elaborates three functions and implications of CNYX in foreign exchange market. This paper also demonstrate the models to get the equilibrium price of CNYX derivatives. CNYX derivatives provide traders and hedgers with a tool for avoiding risk and give a new approach for China’s large foreign reserve to optimize its structure to prevent the devaluation.

Keywords: Foreign exchange index, USDX , CNYX, futures and options pricing

JEL Classification: F31

Suggested Citation

Liu, Lanfen and Han, Liyan, A Study on Chinese Yuan Index and its Derivatives (January 13, 2010). Available at SSRN: https://ssrn.com/abstract=1535703 or http://dx.doi.org/10.2139/ssrn.1535703

Lanfen Liu (Contact Author)

Beihang University (BUAA) - School of Economic and Management Science ( email )

37 Xue Yuan Road
Beijing 100083
China

Liyan Han

Beihang University (BUAA) - School of Economic and Management Science ( email )

37 Xue Yuan Road
Beijing 100083
China

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