外汇市场的协同波动与联合干预

发布时间：2018-04-18 09:28

本文选题：汇率 + 协同波动　；参考：《国际金融研究》2011年06期

【摘要】：本文以ARMA-GARCH,GARCH-M及EGARCH模型检验中国、日本及韩国1997年1月至2010年9月的实际汇率波动,及是否存在风险溢价和杠杆效应,结果发现:中国汇率波动最为平稳,而韩国汇率波动最大,并且存在显著的风险溢价和杠杆效应。我们另外考量了中央银行干预对汇率波动的影响,发现日本中央银行干预最为有效,而韩国中央银行干预最为无效。此外,我们以BEKK-MGARCH模型检验中日韩三国的汇率协同波动现象,发现中日韩三国之间的汇率皆具有正向协同波动关系,而以日韩的协同波动持续性最为显著。若考量央行联合干预,则中日汇率的协同波动性将提高,日韩汇率的协同波动性将明显降低。此外,中日及日韩的联合干预对汇率协同波动有显著的政策效应。
[Abstract]:In this paper, the ARMA-GARCH-M and EGARCH models are used to test the real exchange rate fluctuations in China, Japan and Korea from January 1997 to September 2010, and whether there is a risk premium and leverage effect. The results show that the exchange rate fluctuates most smoothly in China and the largest in South Korea.And there is significant risk premium and leverage effect.We also considered the impact of central bank intervention on exchange rate fluctuations and found that Japan's central bank intervention was the most effective, while Korea's central bank intervention was the most ineffective.In addition, we use BEKK-MGARCH model to test the phenomenon of exchange rate synergistic fluctuation between China, Japan and South Korea, and find that the exchange rate between China, Japan and South Korea has positive synergistic fluctuation relationship, and the persistence of synergetic fluctuation between Japan and South Korea is the most significant.If combined central bank intervention is considered, the synergistic volatility of the exchange rate between China and Japan will be increased, and the synergistic volatility of the exchange rate between Japan and South Korea will be significantly reduced.In addition, the joint intervention of China, Japan and South Korea has a significant policy effect on exchange rate synergistic fluctuations.
【作者单位】：北京大学经济学院;
【分类号】：F224;F831.52

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