人民币外汇市场间不对称汇率变动的实证研究

发布时间：2018-04-27 21:02

本文选题：外汇市场 + 多元GARCH模型　；参考：《国际金融研究》2012年02期

【摘要】：现有关于人民币汇率各市场间关系的研究一般是基于多元GARCH模型,探讨各市场间的线性相关关系,未能考虑各市场间汇率变动可能存在的"不对称效应":面临正(反)向的较大冲击时,各市场汇率变动表现出同步性;而面临反(正)向的较大冲击时,各市场汇率变动不同步。本文运用SJC-Copula-MGARCH模型对人民币汇率境内SPOT市场、境内DF市场和境外NDF市场之间的相依关系进行实证分析,发现境内汇率市场(SPOT市场和DF市场)和境外NDF市场间的联系仍较弱;SPOT-DF市场在面临大的正冲击和负冲击时均表现出较强的联动性,而SPOT-NDF市场和DF-NDF市场在面临大的冲击时汇率变动表现出"不对称效应":在面临大的正冲击(人民币相对贬值)时,境内汇率市场和境外NDF市场汇率变动不同步,当面临大的负冲击(人民币相对升值)时,境内汇率市场和境外NDF市场汇率变动表现出较强的同步性。本文进一步分析了上述"不对称效应"的经济机理,探讨了其经济学含义。
[Abstract]:The existing studies on the relationship between the various markets of RMB exchange rate are generally based on the multivariate GARCH model to explore the linear correlation between the various markets. Failure to take into account the "asymmetric effect" that may exist in exchange rate movements among markets: in the face of large positive (negative) shocks, the market exchange rate movements exhibit synchronism, while in the face of large counter- (positive) shocks, The exchange rate of each market is not in sync. This paper uses SJC-Copula-MGARCH model to analyze the dependence of domestic SPOT market, domestic DF market and overseas NDF market on RMB exchange rate. It is found that the relationship between the domestic exchange rate market spot market and DF market) and the overseas NDF market is still weak. The SPOT-DF market shows strong linkage in the face of large positive and negative shocks. However, the exchange rate changes in the SPOT-NDF market and the DF-NDF market show "asymmetric effect" when they are faced with a big shock. In the face of a large positive impact (relative depreciation of the RMB), the exchange rate changes in the domestic exchange rate market and the overseas NDF market are out of step with each other. When faced with a large negative impact (relative appreciation of RMB), the exchange rate changes of domestic exchange rate market and overseas NDF market show strong synchronism. In this paper, the economic mechanism of the asymmetric effect is analyzed and its economic meaning is discussed.
【作者单位】：中国矿业大学(北京);中国矿业大学(北京)管理学院;
【分类号】：F832.6

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