人民币分别与发达市场和新兴市场货币汇率波动传导效应研究——基于多元BEKK-MGARCH模型的波动传导测试

发布时间：2018-02-23 01:41

本文关键词： 人民币汇率波动传导效应 BEKK-MGARCH模型　出处：《金融研究》2013年06期 　论文类型：期刊论文

【摘要】：本文利用发达市场和新兴市场8个国家和地区货币兑瑞士法郎汇率日数据,构建BEKK-MGARCH模型,分别研究近十年和人民币汇改至今这两段时间,人民币分别同发达市场和新兴市场国家跨市场货币汇率的波动传导效应。结果发现,人民币和美元之间存在着显著的交互波动传导效应关系。在人民币汇改后,人民币汇率表现出更强的波动传导效应,除欧元外,均对美元、日元和英镑汇率有着显著的直接波动传导效应。在新兴市场金砖四国所构建的汇率波动传导效应模型中,无论是在近十年还是在人民币汇改后,人民币相比于金砖四国其他货币具有更强的波动传导效应,但除卢布外,金砖四国的其他货币对人民币汇率的波动传导效应不显著。
[Abstract]:Based on the daily exchange rate data of 8 countries and regions in developed markets and emerging markets against the Swiss franc, this paper constructs a BEKK-MGARCH model to study the past ten years and the two periods since the reform of the RMB exchange rate. The results show that there is a significant interaction between RMB and US dollar. The RMB exchange rate shows stronger volatility conduction effect, except for the euro, which has significant direct effect on the exchange rate of US dollar, Japanese yen and sterling. In the exchange rate conduction effect model constructed by the Bric countries in emerging markets, Whether in the past decade or after the RMB exchange rate reform, the RMB has a stronger volatility transmission effect than other BRIC currencies, but the other BRIC currencies have no significant volatility transmission effect on the RMB exchange rate except the rouble.
【作者单位】：上海财经大学应用统计研究中心上海财经大学统计与管理学院;
【基金】：上海财经大学应用统计研究中心上海财经大学研究生科研创新基金项目-《人民币有效汇率指数编制及其长期均衡测算和波动传导效应研究》(批准号:CXJJ-2012-420)资助
【分类号】：F832.52;F224

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