【摘要】：文章選用二變量VECM-GJR-MVGARCH(1,1)-BEKK擴(kuò)展模型,分析了在美聯(lián)儲(chǔ)貨幣政策沖擊影響下的在岸人民幣即期和遠(yuǎn)期匯率,在岸遠(yuǎn)期和離岸遠(yuǎn)期匯率間長(zhǎng)期均衡關(guān)系調(diào)整、均值溢出、波動(dòng)溢出以及非對(duì)稱效應(yīng)。實(shí)證結(jié)果表明,(1)在岸即期匯率對(duì)遠(yuǎn)期匯率有引導(dǎo)作用,主要由在岸遠(yuǎn)期匯率進(jìn)行調(diào)整以實(shí)現(xiàn)即期、遠(yuǎn)期匯率間的長(zhǎng)期均衡關(guān)系,意料之外的美聯(lián)儲(chǔ)加息會(huì)導(dǎo)致即期、遠(yuǎn)期匯率的貶值,并減小即期匯率的波動(dòng)率;(2)在岸遠(yuǎn)期匯率引導(dǎo)離岸遠(yuǎn)期匯率,離岸遠(yuǎn)期市場(chǎng)處于信息波動(dòng)的中心位置,意料之外的美聯(lián)儲(chǔ)加息會(huì)導(dǎo)致在岸、離岸遠(yuǎn)期匯率的貶值;(3)各外匯市場(chǎng)具有較強(qiáng)的波動(dòng)集聚性,在岸即期匯率對(duì)遠(yuǎn)期匯率有較強(qiáng)的波動(dòng)溢出效應(yīng)和非對(duì)稱效應(yīng),離岸遠(yuǎn)期匯率對(duì)相應(yīng)期限的在岸遠(yuǎn)期匯率有顯著的波動(dòng)溢出和非對(duì)稱效應(yīng),美國(guó)貨幣政策沖擊對(duì)在岸、離岸遠(yuǎn)期外匯市場(chǎng)的波動(dòng)率和波動(dòng)溢出效應(yīng)有顯著影響。因此,投資者和政策制定者在決策時(shí)不僅要考慮不同人民幣外匯市場(chǎng)間的長(zhǎng)期均衡關(guān)系調(diào)整、均值溢出、波動(dòng)溢出以及非對(duì)稱效應(yīng),也應(yīng)重點(diǎn)關(guān)注美國(guó)貨幣政策對(duì)人民幣匯率水平和波動(dòng)可能帶來的影響。
[Abstract]:Based on the two-variable VECM-GJR-MVGARCH (1 / 1)-BEKK model, this paper analyzes the onshore RMB spot and forward exchange rates under the impact of the Federal Reserve's monetary policy, and the adjustment of the long-term equilibrium relationship between onshore forward and offshore forward exchange rates. Mean spillover, volatility spillover and asymmetric effect. The empirical results show that: (1) the onshore spot exchange rate can lead to the forward exchange rate, which is mainly adjusted by onshore forward exchange rate to realize spot. The long-term equilibrium relationship between the forward exchange rate and the unexpected Fed rate increase will lead to spot interest rate increase. Depreciation of the forward exchange rate and reduction of the volatility of the spot exchange rate; (2) the onshore forward rate leads to the offshore forward exchange rate, the offshore forward market is in the center of the information fluctuation, the unexpected Fed rate increase will lead to the depreciation of onshore and offshore forward exchange rate; (3) each foreign exchange market has strong volatility agglomeration, and onshore spot exchange rate has strong volatility spillover effect and asymmetric effect on forward exchange rate. The offshore forward exchange rate has significant volatility spillover and asymmetric effect on the onshore forward exchange rate of the corresponding period, and the impact of American monetary policy has a significant impact on the volatility and volatility spillover effect of offshore forward foreign exchange market. Therefore, investors and policy makers should not only consider the adjustment of long-term equilibrium relationship, mean spillover, volatility spillover and asymmetric effect between different RMB foreign exchange markets, We should also focus on the possible impact of U.S. monetary policy on the level and volatility of the RMB exchange rate.
【作者單位】： 同濟(jì)大學(xué)經(jīng)濟(jì)與管理學(xué)院;濟(jì)南大學(xué)商學(xué)院;
【基金】：國(guó)家自然科學(xué)基金項(xiàng)目“貨幣政策調(diào)整與國(guó)內(nèi)資產(chǎn)價(jià)格波動(dòng):基于多維GARCH方法的實(shí)證分析”(項(xiàng)目編號(hào):71173088)的資助
【分類號(hào)】：F832.6

【相似文獻(xiàn)】

相關(guān)期刊論文 前10條

1 黃穎;黃志剛;;人民幣遠(yuǎn)期匯率能否合理反映匯率預(yù)期——對(duì)人民幣四大遠(yuǎn)期匯率市場(chǎng)的比較[J];金融理論與實(shí)踐;2009年01期

2 楊玲玲;;境內(nèi)外人民幣遠(yuǎn)期匯率聯(lián)動(dòng)性及其波動(dòng)性比較[J];世界經(jīng)濟(jì)情況;2009年10期

3 童心;彭浩;;套利受限與遠(yuǎn)期匯率偏離的關(guān)系探討[J];商業(yè)時(shí)代;2010年24期

4 謝樹志;;淺談遠(yuǎn)期匯率的相關(guān)計(jì)算公式[J];中國(guó)集體經(jīng)濟(jì);2011年13期

5 程振華;;國(guó)外離岸遠(yuǎn)期匯率市場(chǎng)發(fā)展經(jīng)驗(yàn)與借鑒——以日韓為例[J];中國(guó)外資;2012年10期

6 鄧炃;;關(guān)于人民幣遠(yuǎn)期匯率定價(jià)機(jī)制的實(shí)證研究[J];時(shí)代金融;2013年12期

7 張國(guó)忠;當(dāng)代遠(yuǎn)期匯率理論及其意義[J];金融理論與教學(xué);1995年03期

8 朱春富,倪e，

本文編號(hào)：2415656