两岸三地汇率联动性研究

发布时间：2018-04-03 04:20

本文选题：汇率改革　切入点：Copula函数　出处：《南开大学》2013年博士论文

【摘要】：鉴于两岸三地(或称大中华区)经贸政策日益开放、经贸活动益加频繁,汇率的角色举足轻重。所以,本文的主要研究动机是两岸三地的汇率联动性是否因政经体制及时空变化而有不同的程度差异?尤其是人民币汇改前后,台币对港币、港币对人民币、台币对人民币之间的相关程度如何?过去的相关文献并未特别针对两岸三地汇率的动态关联进行分析。在实证方法上,本文有别于以往应用时间序列模式的分析模式,另考虑以Copula关联函数为基础的GARCH模型来探讨汇率之动态联动关系。本文以两岸三地的汇率及总体相关变量进行实证。结果发现：透过双变量CCC-GARCH及DCC-GARCH模型评估两岸三地间汇率报酬率的变异数波动性外溢效果,在全样本看来,两岸三地间的汇率变动相关程度并不高；但若以人民币汇改前后比较,则确定呈现差异性：汇改前,相关程度不高；但汇改后,人民币与台币相关程度明显提高了,但人民币汇率与港币汇率相关性仍不明显。此外,在Copula相关结果分析方面,由全样本的Copula分布图看来,二岸三地间的汇率平均列相关系数并不高。但若区分为汇改前后比较,依然是汇改后比较高。另外透过Pearson相关矩阵亦可看出,人民币与港币在汇改后相关程度低于台币与人民币。透过五种静态Copula函数,包括Normal Copula, Student Copula,Clayton Copula,Gumbel Copula及Frank Copula发现,在全样本及汇改前期间,二岸三地间的汇率变动相关程度均不高。但人民币汇改后,二岸三地的汇率变动相关程度也明显提高了。另一方面,由Copula的传染效果检定可看出,人民币对台币或人民币对港币在汇改后具有显着的传染效果。意涵人民币汇率政策的调控对台币及港币具有影响力。在前面研究结果的基础上,论文进一步讨论了蔓延机率,旨在检视当不同的正、负向消息冲击时的蔓延效果有何差异。结果表明,正向及负向冲击的影响机率是有显着差异的。进一步来说,即当汇改后,人民币对港币的冲击影响明显较全样本或汇改前为大。最后,就政策上的意涵,本文的研究结果可供两岸三地央行做为汇率政策的参考。尤其是台湾与香港地区,因为规模远较中国大陆为小,受其汇率政策调控的冲击较大。
[Abstract]:In view of the increasingly open economic and trade policies between the two sides of the strait (or Greater China), economic and trade activities are increasingly frequent, and the exchange rate plays an important role.Therefore, the main motivation of this paper is whether the exchange rate linkage between the two sides of the Taiwan Strait and the three places has different degrees due to the changes of political and economic system and time and space.In particular, before and after the RMB exchange rate reform, what is the correlation between the Taiwan dollar against Hong Kong dollars, the Hong Kong dollar against the renminbi, and the Taiwan dollar against the renminbi?The related literature in the past has not analyzed the dynamic correlation of the exchange rate between the two sides of the Taiwan Strait.In the empirical method, this paper is different from the previous time series analysis model, and also considers the GARCH model based on the Copula correlation function to explore the dynamic linkage of exchange rate.This article carries on the demonstration with the exchange rate and the overall correlation variable of the three places.The results show that the volatility spillover effect of the exchange rate return rate between the two sides of the Taiwan Strait is evaluated by using the bivariate CCC-GARCH and DCC-GARCH models. From the perspective of the whole sample, the correlation between the exchange rate changes between the two sides of the Taiwan Strait and the three places is not high, but if the exchange rate is compared before and after the RMB exchange rate reform,But after the exchange rate reform, the correlation between the RMB and the Taiwan dollar has obviously increased, but the correlation between the RMB exchange rate and the Hong Kong dollar exchange rate is still not obvious.In addition, in the analysis of Copula correlation results, from the Copula distribution map of the whole sample, the average column correlation coefficient of exchange rate between two banks and three places is not high.But if the difference between before and after the exchange rate reform, is still relatively high after the exchange rate reform.Through the Pearson correlation matrix, we can see that the correlation between the RMB and the Hong Kong dollar is lower than that between the Taiwan dollar and the RMB after the exchange rate reform.Through five static Copula functions, including Normal Copula, Student Copula Clayton Copula Gumbel Copula and Frank Copula, it is found that the correlation of exchange rate changes between the two shores and three places is not high in the whole sample and the period before the exchange rate reform.But after the RMB exchange rate reform, the exchange rate change correlation degree of two banks and three places also increased obviously.On the other hand, it can be seen from the Copula infection effect that the RMB to the Taiwan dollar or the renminbi to the Hong Kong dollar has a significant infectious effect after the exchange rate reform.The regulation of RMB exchange rate policy has an influence on the Taiwan dollar and Hong Kong dollar.Based on the previous research results, the spread probability is further discussed in this paper. The aim of this paper is to examine how the spread effect varies with different positive and negative message shocks.The results show that there are significant differences in the probability of positive and negative impact.Further, the impact of the renminbi on the Hong Kong dollar is significantly greater than that of the full sample or before.Finally, as for the policy implications, the results of this paper can be used as reference for the exchange rate policy of the three central banks.Taiwan and Hong Kong, in particular, are far smaller than mainland China and are hit hard by their exchange rate policy.
【学位授予单位】：南开大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F832.6

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