基于汇率市场化预期的我国商业银行汇率风险测度

发布时间：2019-05-15 13:13

【摘要】：2005年7月我国开始放弃固定汇率制度,实行参考一篮子货币的浮动汇率制度,由此造成的汇率的波动性和不确定性使得商业银行的汇率风险日益凸显。如何有效防范汇率风险成为商业银行经营管理的重要课题,VaR方法目前已成为国际上进行风险度量的一种主流方法,被各国金融机构和企业广泛使用。本文将VaR方法引入到汇率风险度量的实证研究中,探索其在中国金融市场的实用性。在实证研究中本文选择了2005年7月25日至2015年12月31日期间美元／人民币汇率、欧元／人民币汇率、日元／人民币汇率、港币／人民币汇率和英镑／人民币汇率作为研究对象。首先对五组人民币汇率数据进行了模型适用性检验,接着对其分别用GARCH族模型进行参数估计,并选出较适宜的两种模型,进而计算每种外币收益率的VaR值,通过失败率检验,得出VaR值估计的最佳模型。实证结果说明,度量人民币汇率风险的风险价值,应选择置信水平为99%,持有期为1天,则美元收益率序列的最佳的模型应选择EGARCH (1,1)-GED, EGARCH (1, 1)-M-GED模型。欧元则应选择EGARCH (1,1)-t模型。PARCH (1, 1)-M-t可确立为港币最佳模型。对于日元收益率序列PARCH (1,1)-GED和TARCH (1,1)-GED都具有一定的预测性。PARCH (1,1)-t和EGARCH (1,1)-GED可确立为英镑收益率序列最佳模型。最后从方法选择与制度建设两个方面为商业银行汇率风险决策者提出具有针对性的建议为提高VaR方法在商业银行的适用性和准确性提供了可靠参考。
[Abstract]:In July 2005, China began to abandon the fixed exchange rate system and implement a floating exchange rate system with reference to a basket of currencies. The volatility and uncertainty of the exchange rate caused by it make the exchange rate risk of commercial banks increasingly prominent. How to effectively prevent exchange rate risk has become an important issue in the management of commercial banks. VaR method has become a mainstream method of risk measurement in the world, and has been widely used by financial institutions and enterprises in various countries. In this paper, VaR method is introduced into the empirical study of exchange rate risk measurement to explore its practicability in China's financial market. In the empirical study, the US dollar / RMB exchange rate, euro / RMB exchange rate, yen / RMB exchange rate, Hong Kong dollar / RMB exchange rate and pound / RMB exchange rate were selected as the research objects from July 25, 2005 to December 31, 2015. Firstly, the applicability of five groups of RMB exchange rate data is tested, then the parameters are estimated by GARCH family model, and two suitable models are selected, and then the VaR value of each foreign currency rate of return is calculated, and the failure rate test is passed. The best model of VaR value estimation is obtained. The empirical results show that when the risk value of RMB exchange rate risk is measured, the confidence level is 99% and the holding period is 1 day, then the best model of dollar return series should be EGARCH (1, 1)-GED, EGARCH (1, 1)-M-GED model. The euro should choose EGARCH (1, 1)-t model. Park (1, 1)-M can be established as the best model of Hong Kong dollar. The yen yield series PARCH (1, 1)-GED and TARCH (1, 1)-GED have certain predictability. Park (1, 1)-t and EGARCH (1, 1)-GED can be established as the best model of sterling yield series. Finally, it provides a reliable reference for the decision makers of exchange rate risk of commercial banks to improve the applicability and accuracy of VaR method in commercial banks from two aspects of method selection and system construction.
【学位授予单位】：广西大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F832.6;F832.33

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