本文關(guān)鍵詞：基于動(dòng)態(tài)Copula-ARMA-GJR模型的匯率間相依性研究　出處：《湖南大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 人民幣匯率 相依性 Copula-ARMA-GJR模型 風(fēng)險(xiǎn)傳染

【摘要】：研究金融市場(chǎng)間的相依特征對(duì)于資產(chǎn)定價(jià)、投資組合及風(fēng)險(xiǎn)管理都具有重要意義。過去對(duì)金融市場(chǎng)相依性的考察較多集中在證券市場(chǎng)，而對(duì)外匯市場(chǎng)涉及較少。2005年匯率制度改革啟動(dòng)后，人民幣開始走上開放化進(jìn)程，匯率波動(dòng)的不確定性增大，導(dǎo)致風(fēng)險(xiǎn)加劇。同時(shí)，，近年來國際金融危機(jī)頻繁爆發(fā)，各國匯率出現(xiàn)大幅波動(dòng)，外匯風(fēng)險(xiǎn)進(jìn)一步凸顯。另外，一些國家為緩解危機(jī)后本國經(jīng)濟(jì)恢復(fù)與增長的壓力，不斷要求人民幣升值。在此形勢(shì)下，加強(qiáng)外匯風(fēng)險(xiǎn)管理勢(shì)在必行，考慮到不同匯率序列間相依性的準(zhǔn)確刻畫在風(fēng)險(xiǎn)管理中的關(guān)鍵作用，因此對(duì)其進(jìn)行深入考察顯得十分重要。 人民幣匯率受到央行在市場(chǎng)上的操作，這些噪音的存在使得市場(chǎng)不是真正的自由出清，所以在人民幣匯率研究過程中計(jì)量方法的選取極富藝術(shù)性，單一一種動(dòng)態(tài)Copula模型很難準(zhǔn)確刻畫人民幣匯率間的相依特征。因此，本文根據(jù)金融資產(chǎn)表現(xiàn)出來的尖峰厚尾及非對(duì)稱效應(yīng)等特性，構(gòu)建多種動(dòng)態(tài)Copula-ARMA-GJR模型對(duì)人民幣兌美元、歐元、日元和英鎊的4種匯率間的相依結(jié)構(gòu)進(jìn)行考察。 研究發(fā)現(xiàn)：人民幣兌美元與兌歐元、兌日元、兌英鎊匯率間存在顯著的負(fù)相依性，其中人民幣兌美元與兌歐元匯率間的負(fù)相依性最為突出；人民幣兌歐元與兌英鎊匯率間呈現(xiàn)正相依性；人民幣兌日元與兌歐元、兌英鎊匯率間的相依性則時(shí)正時(shí)負(fù)。在極端事件下，各匯率間相依性較正常時(shí)期發(fā)生很大變化，但不是像證券市場(chǎng)那樣呈現(xiàn)增強(qiáng)的正相依性。另外，尾部相依性顯示，人民幣兌美元與兌歐元、兌日元、兌英鎊匯率的上、下尾部相依性基本為零，說明它們基本不存在同時(shí)大漲或大跌的可能性；人民幣兌歐元與兌日元、兌英鎊匯率有著波動(dòng)較大的上、下尾部相依性，說明兩者存在匯率風(fēng)險(xiǎn)傳染關(guān)系。
[Abstract]:The study of dependence characteristics of financial markets is of great significance for asset pricing, portfolio and risk management. In the past, the study of dependence of financial markets focused on the securities market. In 2005, the reform of the exchange rate system started, the RMB began to open up process, the uncertainty of exchange rate fluctuations increased, resulting in increased risk. At the same time. In recent years, the frequent outbreak of the international financial crisis, countries exchange rate fluctuations, foreign exchange risk further highlighted. In addition, some countries to ease the post-crisis domestic economic recovery and growth pressure. Under this situation, it is imperative to strengthen the management of foreign exchange risk, considering the key role of accurately portraying the dependence of different exchange rate sequences in risk management. Therefore, it is very important to conduct a thorough investigation. The RMB exchange rate is operated by the central bank in the market, and the existence of these noises makes the market not really free to clear, so the choice of measurement method in the research process of RMB exchange rate is very artistic. A single dynamic Copula model is difficult to accurately describe the characteristics of RMB exchange rate dependence. Therefore, according to the characteristics of financial assets such as peak, thick tail and asymmetric effect. A variety of dynamic Copula-ARMA-GJR models are constructed to examine the structure of the dependence of the RMB against the dollar, the euro, the yen and the pound. It is found that there is a significant negative dependence between RMB and euro, yen and sterling, among which the negative dependence of RMB against US dollar and euro is the most prominent. The exchange rate of RMB against euro and sterling is positively dependent; The dependence of RMB against yen, euro and sterling is positive and negative. In extreme events, the dependence of each exchange rate is much different than that of normal period. In addition, the tail dependency shows that the renminbi is basically zero against the dollar, against the euro, against the yen and against the pound. It shows that there is basically no possibility that they will rise or drop simultaneously; Against the euro and the yen, the yuan has a volatile upper and lower tail against sterling, indicating a risk contagion relationship between the two.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.6;F224

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