人民币汇率货币篮子的动态结构变化研究

发布时间：2018-06-17 08:27

本文选题：人民币汇率 + 货币篮子　；参考：《世界经济研究》2017年05期

【摘要】：文章通过研究人民币与其篮子货币之间的尾部相依关系,分析了人民币与其一篮子货币之间的波动溢出效应,探讨了新"汇改"后人民币汇率货币篮子的动态结构变化。基于规则藤Copula模型分析发现,欧元在新"汇改"后处于波动溢出效应的中心地位,且与人民币之间的相依程度最大,应该在人民币汇率货币篮子中占较大权重,而美元所占权重应该有所降低,英镑是在特别提款权货币篮子中所占人民币汇率货币篮子权重最小的货币。文章采用实际有效汇率数据,基于滚动窗口方法分析了人民币与其篮子货币之间动态变化的相依结构。研究表明,人民币汇率货币篮子中的货币所占权重呈现出动态变化的特点。文章还认为,发达国家的货币权重应该逐渐下调,而新兴经济体的货币权重则应该逐渐上调。
[Abstract]:By studying the tail dependence of RMB and its basket currencies, this paper analyzes the volatility spillover effect between RMB and its basket of currencies, and probes into the dynamic structural changes of RMB exchange rate basket after the new "exchange rate reform". Based on the analysis of Fujiao Copula model, it is found that the euro is in the central position of volatility spillover effect after the new "exchange rate reform", and the degree of dependence between the euro and the RMB is the largest, which should occupy a large weight in the RMB exchange rate basket. The dollar should be given less weight, with sterling the smallest in the SDR basket of yuan currencies. Based on the real effective exchange rate data and the rolling window method, this paper analyzes the dynamic dependent structure between RMB and its basket currency. The study shows that the weight of RMB currency in the basket of RMB exchange rate is dynamic. The paper also argues that the currency weight of developed countries should be gradually reduced, while that of emerging economies should be gradually increased.
【作者单位】：安徽工业大学商学院;深圳大学经济学院金融学系;暨南大学管理学院;
【基金】：国家自然科学基金项目(项目编号:71601125) 教育部人文社会科学研究基金项目(项目编号:16YJC790030) 安徽省自然科学基金项目(项目编号:1708085QG163) 重庆市教委科学技术研究项目(项目编号:KJ1709236)资助
【分类号】：F832.6

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