新常态背景下汇率市场化改革与汇率波动性研究

发布时间：2018-01-23 19:09

本文关键词： 人民币国际化汇率市场化杠杆随机波动互动关系马尔科夫　出处：《国际金融研究》2017年03期 　论文类型：期刊论文

【摘要】：基于中国与世界经济联系日益密切和汇率波动幅度不断加大的背景,本文分析了新常态条件下人民币汇率波动的典型化事实,基于TGARCH、杠杆SV、Granger因果关系检验、BVAR模型实证检验了人民币汇率的波动性特征,利用Markov机制转化模型做了进一步的实证检验,并基于经济新常态进行了人民币汇率波动性分析。结论如下:第一,人民币市场化和国际化加大了汇率波动幅度,人民币汇率将由过去的单向升值波动转变为双向波动。第二,杠杆SV模型优于TGARCH模型,T分布优于N分布,无论对于美元对人民币汇率,还是人民币汇率有效指数,最适用于测度波动项的模型都是杠杆SV-T模型。第三,人民币汇率的波动具有较强的持续性,人民币升值,波动性会加大。第四,金融强国必须汇率市场化和国际化,经济新常态需要金融创新来形成新的驱动因素,增强中国在国际金融市场的规则制定权和话语权。
[Abstract]:Based on the background of the increasingly close economic ties between China and the world and the increasing range of exchange rate fluctuations, this paper analyzes the typical facts of RMB exchange rate fluctuations under the new normal conditions, based on TGARCHS, leverage SV. The Granger causality test tests the volatility characteristics of RMB exchange rate by using the BVAR model, and makes a further empirical test by using the Markov mechanism transformation model. And based on the new normal economic analysis of RMB exchange rate volatility. The conclusions are as follows: first, RMB marketization and internationalization increase the exchange rate volatility. RMB exchange rate will change from one-way appreciation to two-way volatility. Second, leverage SV model is superior to TGARCH model T distribution is better than N distribution, regardless of the dollar to RMB exchange rate. Or the effective index of RMB exchange rate, the most suitable model for measuring volatility is leveraged SV-T model. Third, RMB exchange rate volatility has a strong sustainability, RMB appreciation. Volatility will increase. 4th, financial powers must exchange rate marketization and internationalization, the new normal economy needs financial innovation to form new driving factors, enhance China's right to make rules and voice in the international financial market.
【作者单位】：安徽财经大学金融学院;
【基金】：国家社会科学重点基金项目(14AJY027) 教育部创新团队发展计划(IRT13020)资助
【分类号】：F832.6
【正文快照】： 引言在无套利假设下,价格波动性反映了信息流波动性,这给波动性赋予了信息含义,在无套利经济中,价格波动性与市场中的信息流相关(Ross,1989)。现有关于中国汇率波动性的实证研究主要侧重于GARCH模型。赵华和燕焦枝(2010)利用GARCH模型和Markov模型实证检验了人民币汇率的波动

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