本文選題：匯率改革　切入點：Copula函數(shù)　出處：《南開大學》2013年博士論文

【摘要】：鑒于兩岸三地(或稱大中華區(qū))經貿政策日益開放、經貿活動益加頻繁,匯率的角色舉足輕重。所以,本文的主要研究動機是兩岸三地的匯率聯(lián)動性是否因政經體制及時空變化而有不同的程度差異?尤其是人民幣匯改前后,臺幣對港幣、港幣對人民幣、臺幣對人民幣之間的相關程度如何?過去的相關文獻并未特別針對兩岸三地匯率的動態(tài)關聯(lián)進行分析。在實證方法上,本文有別于以往應用時間序列模式的分析模式,另考慮以Copula關聯(lián)函數(shù)為基礎的GARCH模型來探討匯率之動態(tài)聯(lián)動關系。 本文以兩岸三地的匯率及總體相關變量進行實證。結果發(fā)現(xiàn)：透過雙變量CCC-GARCH及DCC-GARCH模型評估兩岸三地間匯率報酬率的變異數(shù)波動性外溢效果,在全樣本看來,兩岸三地間的匯率變動相關程度并不高；但若以人民幣匯改前后比較,則確定呈現(xiàn)差異性：匯改前,相關程度不高；但匯改后,人民幣與臺幣相關程度明顯提高了,但人民幣匯率與港幣匯率相關性仍不明顯。 此外,在Copula相關結果分析方面,由全樣本的Copula分布圖看來,二岸三地間的匯率平均列相關系數(shù)并不高。但若區(qū)分為匯改前后比較,依然是匯改后比較高。另外透過Pearson相關矩陣亦可看出,人民幣與港幣在匯改后相關程度低于臺幣與人民幣。透過五種靜態(tài)Copula函數(shù),包括Normal Copula, Student Copula,Clayton Copula,Gumbel Copula及Frank Copula發(fā)現(xiàn),在全樣本及匯改前期間,二岸三地間的匯率變動相關程度均不高。但人民幣匯改后,二岸三地的匯率變動相關程度也明顯提高了。另一方面,由Copula的傳染效果檢定可看出,人民幣對臺幣或人民幣對港幣在匯改后具有顯著的傳染效果。意涵人民幣匯率政策的調控對臺幣及港幣具有影響力。 在前面研究結果的基礎上,論文進一步討論了蔓延機率,旨在檢視當不同的正、負向消息沖擊時的蔓延效果有何差異。結果表明,正向及負向沖擊的影響機率是有顯著差異的。進一步來說,即當匯改后,人民幣對港幣的沖擊影響明顯較全樣本或匯改前為大。 最后,就政策上的意涵,本文的研究結果可供兩岸三地央行做為匯率政策的參考。尤其是臺灣與香港地區(qū),因為規(guī)模遠較中國大陸為小,受其匯率政策調控的沖擊較大。
[Abstract]:In view of the increasingly open economic and trade policies between the two sides of the strait (or Greater China), economic and trade activities are increasingly frequent, and the exchange rate plays an important role.Therefore, the main motivation of this paper is whether the exchange rate linkage between the two sides of the Taiwan Strait and the three places has different degrees due to the changes of political and economic system and time and space.In particular, before and after the RMB exchange rate reform, what is the correlation between the Taiwan dollar against Hong Kong dollars, the Hong Kong dollar against the renminbi, and the Taiwan dollar against the renminbi?The related literature in the past has not analyzed the dynamic correlation of the exchange rate between the two sides of the Taiwan Strait.In the empirical method, this paper is different from the previous time series analysis model, and also considers the GARCH model based on the Copula correlation function to explore the dynamic linkage of exchange rate.This article carries on the demonstration with the exchange rate and the overall correlation variable of the three places.The results show that the volatility spillover effect of the exchange rate return rate between the two sides of the Taiwan Strait is evaluated by using the bivariate CCC-GARCH and DCC-GARCH models. From the perspective of the whole sample, the correlation between the exchange rate changes between the two sides of the Taiwan Strait and the three places is not high, but if the exchange rate is compared before and after the RMB exchange rate reform,But after the exchange rate reform, the correlation between the RMB and the Taiwan dollar has obviously increased, but the correlation between the RMB exchange rate and the Hong Kong dollar exchange rate is still not obvious.In addition, in the analysis of Copula correlation results, from the Copula distribution map of the whole sample, the average column correlation coefficient of exchange rate between two banks and three places is not high.But if the difference between before and after the exchange rate reform, is still relatively high after the exchange rate reform.Through the Pearson correlation matrix, we can see that the correlation between the RMB and the Hong Kong dollar is lower than that between the Taiwan dollar and the RMB after the exchange rate reform.Through five static Copula functions, including Normal Copula, Student Copula Clayton Copula Gumbel Copula and Frank Copula, it is found that the correlation of exchange rate changes between the two shores and three places is not high in the whole sample and the period before the exchange rate reform.But after the RMB exchange rate reform, the exchange rate change correlation degree of two banks and three places also increased obviously.On the other hand, it can be seen from the Copula infection effect that the RMB to the Taiwan dollar or the renminbi to the Hong Kong dollar has a significant infectious effect after the exchange rate reform.The regulation of RMB exchange rate policy has an influence on the Taiwan dollar and Hong Kong dollar.Based on the previous research results, the spread probability is further discussed in this paper. The aim of this paper is to examine how the spread effect varies with different positive and negative message shocks.The results show that there are significant differences in the probability of positive and negative impact.Further, the impact of the renminbi on the Hong Kong dollar is significantly greater than that of the full sample or before.Finally, as for the policy implications, the results of this paper can be used as reference for the exchange rate policy of the three central banks.Taiwan and Hong Kong, in particular, are far smaller than mainland China and are hit hard by their exchange rate policy.
【學位授予單位】：南開大學
【學位級別】：博士
【學位授予年份】：2013
【分類號】：F832.6

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