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

【摘要】：現(xiàn)有關(guān)于人民幣匯率各市場間關(guān)系的研究一般是基于多元GARCH模型,探討各市場間的線性相關(guān)關(guān)系,未能考慮各市場間匯率變動可能存在的"不對稱效應(yīng)":面臨正(反)向的較大沖擊時,各市場匯率變動表現(xiàn)出同步性;而面臨反(正)向的較大沖擊時,各市場匯率變動不同步。本文運用SJC-Copula-MGARCH模型對人民幣匯率境內(nèi)SPOT市場、境內(nèi)DF市場和境外NDF市場之間的相依關(guān)系進行實證分析,發(fā)現(xiàn)境內(nèi)匯率市場(SPOT市場和DF市場)和境外NDF市場間的聯(lián)系仍較弱;SPOT-DF市場在面臨大的正沖擊和負(fù)沖擊時均表現(xiàn)出較強的聯(lián)動性,而SPOT-NDF市場和DF-NDF市場在面臨大的沖擊時匯率變動表現(xiàn)出"不對稱效應(yīng)":在面臨大的正沖擊(人民幣相對貶值)時,境內(nèi)匯率市場和境外NDF市場匯率變動不同步,當(dāng)面臨大的負(fù)沖擊(人民幣相對升值)時,境內(nèi)匯率市場和境外NDF市場匯率變動表現(xiàn)出較強的同步性。本文進一步分析了上述"不對稱效應(yīng)"的經(jīng)濟機理,探討了其經(jīng)濟學(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】： 中國礦業(yè)大學(xué)(北京);中國礦業(yè)大學(xué)(北京)管理學(xué)院;
【分類號】：F832.6

【相似文獻】

相關(guān)期刊論文 前10條

1 陳志宏;夏玲;;完善外匯調(diào)劑市場機制[J];中國改革;1990年05期

2 陳強;;試談影響外匯市場價格波動的因素及其對策[J];浙江金融;1992年05期

3 張永宏;;外匯買賣的技術(shù)分析工具——相對強度指數(shù)[J];國際金融研究;1992年02期

4 陳銘;近期匯率形勢剖析[J];w，

本文編號：1812326