本文選題：離岸人民幣 + 在岸人民幣��； 參考：《商業(yè)研究》2014年10期

【摘要】：隨著香港離岸人民幣匯率市場(chǎng)的發(fā)展,離岸人民幣匯率價(jià)格體系不斷地完善。本文運(yùn)用Granger因果檢驗(yàn)和BEKK-GARCH(1,1)模型,研究了在岸和離岸人民幣匯率之間的價(jià)格溢出效應(yīng)和波動(dòng)溢出效應(yīng),結(jié)果顯示:在岸人民幣即期和遠(yuǎn)期匯率對(duì)離岸匯率能夠產(chǎn)生較為顯著的價(jià)格溢出效應(yīng)和波動(dòng)溢出效應(yīng);NDF匯率對(duì)在岸即期和遠(yuǎn)期匯率有顯著地價(jià)格溢出效應(yīng)和波動(dòng)溢出效應(yīng);離岸即期匯率對(duì)在岸遠(yuǎn)期匯率有顯著地價(jià)格溢出效應(yīng),但波動(dòng)溢出效應(yīng)較弱;離岸即期匯率對(duì)在岸即期匯率未產(chǎn)生價(jià)格溢出效應(yīng),但波動(dòng)溢出效應(yīng)顯著。
[Abstract]:With the development of the offshore RMB exchange rate market in Hong Kong, the offshore RMB exchange rate price system has been continuously improved. Using the Granger causality test and BEKK-GARCH1) model, this paper studies the price spillover effect and volatility spillover effect between onshore and offshore RMB exchange rates. The results show that onshore RMB spot and forward exchange rates have significant price spillover effect and volatility spillover effect on offshore exchange rate. NDF exchange rate has significant price spillover effect and volatility spillover effect on onshore spot and forward exchange rate. Offshore spot exchange rate has significant price spillover effect on onshore forward exchange rate, but volatility spillover effect is weak, while offshore spot exchange rate has no price spillover effect on onshore spot exchange rate, but volatility spillover effect is significant.
【作者單位】： 吉林大學(xué)經(jīng)濟(jì)學(xué)院;中國(guó)人民大學(xué)經(jīng)濟(jì)學(xué)院;
【基金】：吉林大學(xué)哲學(xué)社會(huì)科學(xué)創(chuàng)新團(tuán)隊(duì)項(xiàng)目,項(xiàng)目編號(hào):2012FRTD02 教育部人文社會(huì)科學(xué)青年基金項(xiàng)目,項(xiàng)目編號(hào):12YJCGJW005 中國(guó)博士后科學(xué)基金面上資助項(xiàng)目,項(xiàng)目編號(hào):2013M541271 吉林大學(xué)基本科研業(yè)務(wù)費(fèi)項(xiàng)目,項(xiàng)目編號(hào):2012BS047
【分類號(hào)】：F224;F832.6
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本文編號(hào)：1917128