基于混合Copula-GARCH-EVT模型的外匯相依性研究
發(fā)布時(shí)間：2018-10-04 21:37
【摘要】：國家宣布2005年7月21日起,人民幣匯率實(shí)施市場自由調(diào)控為主,并參照一籃子貨幣共同驅(qū)動(dòng)的浮動(dòng)外匯機(jī)制,隨著外匯市場機(jī)制的逐步改進(jìn),中國外匯市場漸漸走向成熟。從2016年10月1日開始,人民幣成為繼美元、歐元、英鎊和日元之后的第五種貨幣正式加進(jìn)特別提款權(quán)(SDR)貨幣籃子,代表著中國外匯市場向國際化走出關(guān)鍵的一步。隨著外匯市場改革的進(jìn)行,人民幣匯率的波動(dòng)日趨市場化,而全球化的日益深化也使中國與外國的貿(mào)易也越來越頻繁。因此,一些涉外投資企業(yè)如商業(yè)銀行、證券公司、基金公司和進(jìn)出口公司所面臨的外匯風(fēng)險(xiǎn)(也稱匯率風(fēng)險(xiǎn))也日益凸顯。所以在外貿(mào)企業(yè)與國外貿(mào)易往來過程中,能夠準(zhǔn)確地測度外匯風(fēng)險(xiǎn)對(duì)于防范和規(guī)避貨幣風(fēng)險(xiǎn)來說尤為關(guān)鍵。而市場之間相依性研究是風(fēng)險(xiǎn)控制與測度的重要組成部分,由于Copula函數(shù)不僅可以對(duì)時(shí)間序列的相關(guān)性進(jìn)行刻畫,而且能夠描述其相依結(jié)構(gòu),因此Copula函數(shù)在風(fēng)險(xiǎn)控制方面常常被作為探究多種資產(chǎn)間相依結(jié)構(gòu)的主要工具。但是,市場中不同資產(chǎn)之間的相關(guān)結(jié)構(gòu)并不是一成不變的,不會(huì)是固定的模式,因此單純使用一種Copula函數(shù)難以有效地刻畫不同資產(chǎn)之間的相關(guān)結(jié)構(gòu)。但是混合Copula函數(shù)由具有不同性質(zhì)的Copula函數(shù)組合而成,比單單使用一種Copula函數(shù)更能準(zhǔn)確地表述資產(chǎn)間的這種關(guān)系。本文以2007年5月21日到2015年8月10日歐元對(duì)人民幣與日元對(duì)人民幣外匯數(shù)據(jù)為樣本,將兩種外匯收益率數(shù)據(jù)采用GARCH-EVT模型進(jìn)行邊際分布處理,實(shí)證顯示,GARCH-EVT模型處理了殘差序列自有的條件異方差及其厚尾特性,更加適合后續(xù)Copula擬合。我們選取阿基米德Copula函數(shù)中的Gumbel Copula、Clayton Copula 和 Frank Copula來構(gòu)造混合Copula模型。研究結(jié)果表明:由Gumbel Copula、Clayton Copula和Frank Copula組合而得的混合Copula模型能更加準(zhǔn)確地表述多種市場間的相關(guān)關(guān)系。
[Abstract]:The state announced that from July 21, 2005, the RMB exchange rate will be controlled mainly by the market, and with reference to the floating foreign exchange mechanism driven by a basket of currencies, with the gradual improvement of the foreign exchange market mechanism, China's foreign exchange market will gradually mature. Beginning on October 1, 2016, the yuan became the fifth currency after the dollar, euro, sterling and yen to be formally added to the SDR (SDR) basket, marking a crucial step towards internationalisation in China's foreign exchange market. With the reform of the foreign exchange market, the fluctuation of RMB exchange rate is becoming more and more market-oriented, and the deepening of globalization makes the trade between China and foreign countries more and more frequent. As a result, some foreign investment enterprises such as commercial banks, securities companies, fund companies and import and export companies are increasingly exposed to foreign exchange risk (also known as exchange rate risk). Therefore, in the process of foreign trade between foreign trade enterprises and foreign trade, it is very important to measure foreign exchange risk accurately to prevent and avoid currency risk. The study of market dependence is an important part of risk control and measurement, because the Copula function can not only describe the correlation of time series, but also describe its dependent structure. Therefore, the Copula function is often used as the main tool to explore the dependence structure of various assets in the aspect of risk control. However, the correlation structure between different assets in the market is not fixed, nor is it a fixed pattern. Therefore, it is difficult to describe the correlation structure between different assets effectively by using a Copula function. But the hybrid Copula function is composed of Copula functions with different properties, which is more accurate than using a single Copula function to describe the relationship between assets. From May 21, 2007 to August 10, 2015, the data of euro to RMB and yen to RMB are taken as samples, and the data of two kinds of foreign exchange rate are processed by GARCH-EVT model. The empirical results show that the GARCH-EVT model deals with the conditional heteroscedasticity and its thick-tailed characteristics of the residual sequence, and is more suitable for subsequent Copula fitting. We select Gumbel Copula,Clayton Copula and Frank Copula in Archimedes Copula function to construct mixed Copula model. The results show that the hybrid Copula model combined with Gumbel Copula,Clayton Copula and Frank Copula can more accurately describe the correlation between various markets.
【學(xué)位授予單位】：浙江工商大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F224;F832.6
本文編號(hào)：2251962
[Abstract]:The state announced that from July 21, 2005, the RMB exchange rate will be controlled mainly by the market, and with reference to the floating foreign exchange mechanism driven by a basket of currencies, with the gradual improvement of the foreign exchange market mechanism, China's foreign exchange market will gradually mature. Beginning on October 1, 2016, the yuan became the fifth currency after the dollar, euro, sterling and yen to be formally added to the SDR (SDR) basket, marking a crucial step towards internationalisation in China's foreign exchange market. With the reform of the foreign exchange market, the fluctuation of RMB exchange rate is becoming more and more market-oriented, and the deepening of globalization makes the trade between China and foreign countries more and more frequent. As a result, some foreign investment enterprises such as commercial banks, securities companies, fund companies and import and export companies are increasingly exposed to foreign exchange risk (also known as exchange rate risk). Therefore, in the process of foreign trade between foreign trade enterprises and foreign trade, it is very important to measure foreign exchange risk accurately to prevent and avoid currency risk. The study of market dependence is an important part of risk control and measurement, because the Copula function can not only describe the correlation of time series, but also describe its dependent structure. Therefore, the Copula function is often used as the main tool to explore the dependence structure of various assets in the aspect of risk control. However, the correlation structure between different assets in the market is not fixed, nor is it a fixed pattern. Therefore, it is difficult to describe the correlation structure between different assets effectively by using a Copula function. But the hybrid Copula function is composed of Copula functions with different properties, which is more accurate than using a single Copula function to describe the relationship between assets. From May 21, 2007 to August 10, 2015, the data of euro to RMB and yen to RMB are taken as samples, and the data of two kinds of foreign exchange rate are processed by GARCH-EVT model. The empirical results show that the GARCH-EVT model deals with the conditional heteroscedasticity and its thick-tailed characteristics of the residual sequence, and is more suitable for subsequent Copula fitting. We select Gumbel Copula,Clayton Copula and Frank Copula in Archimedes Copula function to construct mixed Copula model. The results show that the hybrid Copula model combined with Gumbel Copula,Clayton Copula and Frank Copula can more accurately describe the correlation between various markets.
【學(xué)位授予單位】：浙江工商大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F224;F832.6
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