A Study on Chinese Yuan Index and its Derivatives
11 Pages Posted: 13 Jan 2010 Last revised: 15 Jan 2010
Date Written: January 13, 2010
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
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