本文選題：外匯市場(chǎng) + 多元GARCH模型��； 參考：《國(guó)際金融研究》2012年02期

【摘要】：現(xiàn)有關(guān)于人民幣匯率各市場(chǎng)間關(guān)系的研究一般是基于多元GARCH模型,探討各市場(chǎng)間的線性相關(guān)關(guān)系,未能考慮各市場(chǎng)間匯率變動(dòng)可能存在的"不對(duì)稱效應(yīng)":面臨正(反)向的較大沖擊時(shí),各市場(chǎng)匯率變動(dòng)表現(xiàn)出同步性;而面臨反(正)向的較大沖擊時(shí),各市場(chǎng)匯率變動(dòng)不同步。本文運(yùn)用SJC-Copula-MGARCH模型對(duì)人民幣匯率境內(nèi)SPOT市場(chǎng)、境內(nèi)DF市場(chǎng)和境外NDF市場(chǎng)之間的相依關(guān)系進(jìn)行實(shí)證分析,發(fā)現(xiàn)境內(nèi)匯率市場(chǎng)(SPOT市場(chǎng)和DF市場(chǎng))和境外NDF市場(chǎng)間的聯(lián)系仍較弱;SPOT-DF市場(chǎng)在面臨大的正沖擊和負(fù)沖擊時(shí)均表現(xiàn)出較強(qiáng)的聯(lián)動(dòng)性,而SPOT-NDF市場(chǎng)和DF-NDF市場(chǎng)在面臨大的沖擊時(shí)匯率變動(dòng)表現(xiàn)出"不對(duì)稱效應(yīng)":在面臨大的正沖擊(人民幣相對(duì)貶值)時(shí),境內(nèi)匯率市場(chǎng)和境外NDF市場(chǎng)匯率變動(dòng)不同步,當(dāng)面臨大的負(fù)沖擊(人民幣相對(duì)升值)時(shí),境內(nèi)匯率市場(chǎng)和境外NDF市場(chǎng)匯率變動(dòng)表現(xiàn)出較強(qiáng)的同步性。本文進(jìn)一步分析了上述"不對(duì)稱效應(yīng)"的經(jīng)濟(jì)機(jī)理,探討了其經(jīng)濟(jì)學(xué)含義。
[Abstract]:The existing studies on the relationship between the various markets of RMB exchange rate are generally based on the multivariate GARCH model to explore the linear correlation between the various markets. Failure to take into account the "asymmetric effect" that may exist in exchange rate movements among markets: in the face of large positive (negative) shocks, the market exchange rate movements exhibit synchronism, while in the face of large counter- (positive) shocks, The exchange rate of each market is not in sync. This paper uses SJC-Copula-MGARCH model to analyze the dependence of domestic SPOT market, domestic DF market and overseas NDF market on RMB exchange rate. It is found that the relationship between the domestic exchange rate market spot market and DF market) and the overseas NDF market is still weak. The SPOT-DF market shows strong linkage in the face of large positive and negative shocks. However, the exchange rate changes in the SPOT-NDF market and the DF-NDF market show "asymmetric effect" when they are faced with a big shock. In the face of a large positive impact (relative depreciation of the RMB), the exchange rate changes in the domestic exchange rate market and the overseas NDF market are out of step with each other. When faced with a large negative impact (relative appreciation of RMB), the exchange rate changes of domestic exchange rate market and overseas NDF market show strong synchronism. In this paper, the economic mechanism of the asymmetric effect is analyzed and its economic meaning is discussed.
【作者單位】： 中國(guó)礦業(yè)大學(xué)(北京);中國(guó)礦業(yè)大學(xué)(北京)管理學(xué)院;
【分類號(hào)】：F832.6

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本文編號(hào)：1812326