美联储货币政策中性化背景下人民币外汇市场间均衡关系调整和溢出效应研究
发布时间：2019-01-26 16:15
【摘要】：文章选用二变量VECM-GJR-MVGARCH(1,1)-BEKK扩展模型,分析了在美联储货币政策冲击影响下的在岸人民币即期和远期汇率,在岸远期和离岸远期汇率间长期均衡关系调整、均值溢出、波动溢出以及非对称效应。实证结果表明,(1)在岸即期汇率对远期汇率有引导作用,主要由在岸远期汇率进行调整以实现即期、远期汇率间的长期均衡关系,意料之外的美联储加息会导致即期、远期汇率的贬值,并减小即期汇率的波动率;(2)在岸远期汇率引导离岸远期汇率,离岸远期市场处于信息波动的中心位置,意料之外的美联储加息会导致在岸、离岸远期汇率的贬值;(3)各外汇市场具有较强的波动集聚性,在岸即期汇率对远期汇率有较强的波动溢出效应和非对称效应,离岸远期汇率对相应期限的在岸远期汇率有显著的波动溢出和非对称效应,美国货币政策冲击对在岸、离岸远期外汇市场的波动率和波动溢出效应有显著影响。因此,投资者和政策制定者在决策时不仅要考虑不同人民币外汇市场间的长期均衡关系调整、均值溢出、波动溢出以及非对称效应,也应重点关注美国货币政策对人民币汇率水平和波动可能带来的影响。
[Abstract]:Based on the two-variable VECM-GJR-MVGARCH (1 / 1)-BEKK model, this paper analyzes the onshore RMB spot and forward exchange rates under the impact of the Federal Reserve's monetary policy, and the adjustment of the long-term equilibrium relationship between onshore forward and offshore forward exchange rates. Mean spillover, volatility spillover and asymmetric effect. The empirical results show that: (1) the onshore spot exchange rate can lead to the forward exchange rate, which is mainly adjusted by onshore forward exchange rate to realize spot. The long-term equilibrium relationship between the forward exchange rate and the unexpected Fed rate increase will lead to spot interest rate increase. Depreciation of the forward exchange rate and reduction of the volatility of the spot exchange rate; (2) the onshore forward rate leads to the offshore forward exchange rate, the offshore forward market is in the center of the information fluctuation, the unexpected Fed rate increase will lead to the depreciation of onshore and offshore forward exchange rate; (3) each foreign exchange market has strong volatility agglomeration, and onshore spot exchange rate has strong volatility spillover effect and asymmetric effect on forward exchange rate. The offshore forward exchange rate has significant volatility spillover and asymmetric effect on the onshore forward exchange rate of the corresponding period, and the impact of American monetary policy has a significant impact on the volatility and volatility spillover effect of offshore forward foreign exchange market. Therefore, investors and policy makers should not only consider the adjustment of long-term equilibrium relationship, mean spillover, volatility spillover and asymmetric effect between different RMB foreign exchange markets, We should also focus on the possible impact of U.S. monetary policy on the level and volatility of the RMB exchange rate.
【作者单位】： 同济大学经济与管理学院;济南大学商学院;
【基金】：国家自然科学基金项目“货币政策调整与国内资产价格波动:基于多维GARCH方法的实证分析”(项目编号:71173088)的资助
【分类号】：F832.6
[Abstract]:Based on the two-variable VECM-GJR-MVGARCH (1 / 1)-BEKK model, this paper analyzes the onshore RMB spot and forward exchange rates under the impact of the Federal Reserve's monetary policy, and the adjustment of the long-term equilibrium relationship between onshore forward and offshore forward exchange rates. Mean spillover, volatility spillover and asymmetric effect. The empirical results show that: (1) the onshore spot exchange rate can lead to the forward exchange rate, which is mainly adjusted by onshore forward exchange rate to realize spot. The long-term equilibrium relationship between the forward exchange rate and the unexpected Fed rate increase will lead to spot interest rate increase. Depreciation of the forward exchange rate and reduction of the volatility of the spot exchange rate; (2) the onshore forward rate leads to the offshore forward exchange rate, the offshore forward market is in the center of the information fluctuation, the unexpected Fed rate increase will lead to the depreciation of onshore and offshore forward exchange rate; (3) each foreign exchange market has strong volatility agglomeration, and onshore spot exchange rate has strong volatility spillover effect and asymmetric effect on forward exchange rate. The offshore forward exchange rate has significant volatility spillover and asymmetric effect on the onshore forward exchange rate of the corresponding period, and the impact of American monetary policy has a significant impact on the volatility and volatility spillover effect of offshore forward foreign exchange market. Therefore, investors and policy makers should not only consider the adjustment of long-term equilibrium relationship, mean spillover, volatility spillover and asymmetric effect between different RMB foreign exchange markets, We should also focus on the possible impact of U.S. monetary policy on the level and volatility of the RMB exchange rate.
【作者单位】： 同济大学经济与管理学院;济南大学商学院;
【基金】：国家自然科学基金项目“货币政策调整与国内资产价格波动:基于多维GARCH方法的实证分析”(项目编号:71173088)的资助
【分类号】：F832.6
【相似文献】
相关期刊论文 前10条
1 黄颖;黄志刚;;人民币远期汇率能否合理反映汇率预期——对人民币四大远期汇率市场的比较[J];金融理论与实践;2009年01期
2 杨玲玲;;境内外人民币远期汇率联动性及其波动性比较[J];世界经济情况;2009年10期
3 童心;彭浩;;套利受限与远期汇率偏离的关系探讨[J];商业时代;2010年24期
4 谢树志;;浅谈远期汇率的相关计算公式[J];中国集体经济;2011年13期
5 程振华;;国外离岸远期汇率市场发展经验与借鉴——以日韩为例[J];中国外资;2012年10期
6 邓炃;;关于人民币远期汇率定价机制的实证研究[J];时代金融;2013年12期
7 张国忠;当代远期汇率理论及其意义[J];金融理论与教学;1995年03期
8 朱春富,倪e，
本文编号：2415656
本文链接：https://www.wllwen.com/jingjilunwen/huobiyinxinglunwen/2415656.html
