人民币汇率市场化,结构相依与结构突变

发布时间：2019-04-07 15:46

【摘要】：运用能够识别资本市场结构突变与区制变化的Markov区制转换模型,基于非线性相依结构研究中的藤Copula分析框架,文章以考察人民币汇率市场化进程中的结构相依与突变特征为切入点,重点研究两次汇改以及金融危机时期人民币汇率在四个阶段的结构转换及非对称动态相依特征。文章采用GJR-GARCH模型探讨人民币汇率市场的"杠杆效应"。在此基础上,文章对两次汇改以及美国次贷危机时期人民币汇率市场的结构突变和区制转换的进行识别。研究发现,Markov区制转换模型能够准确地捕捉到人民币汇率第一次汇改的临界点,但在捕捉第二次汇改临界点方面却存在一定的滞后反应。并且,该模型对美联储采取第一轮量化宽松的货币政策的捕获,也表现出较好的能力。进一步地,文章运用藤Copula分析框架探讨了不同人民币汇率市场之间的非线性相依结构。研究表明,整体而言,采用t-Copula的藤结构在捕捉人民币汇市之间的相依结构方面表现出良好的刻画效果。
[Abstract]:Based on the analysis framework of rattan Copula in the study of nonlinear dependent structure, a Markov system transformation model which can identify the abrupt change of capital market structure and the change of regional system is used in this paper. This paper focuses on the structural dependence and abrupt change of RMB exchange rate in the process of marketization, and focuses on the structural transformation and asymmetric dynamic dependence of RMB exchange rate in four stages during the financial crisis. This paper uses GJR-GARCH model to discuss the "leverage effect" of RMB exchange rate market. On this basis, the paper identifies the two exchange rate reforms and the structural mutation and block conversion of RMB exchange rate market during the subprime mortgage crisis in the United States. It is found that the Markov model can accurately capture the critical point of the first exchange rate reform of RMB, but there is a certain lag response in capturing the critical point of the second exchange rate reform. Moreover, the model also shows a better ability to capture the Fed's first round of quantitative easing monetary policy. Furthermore, using the rattan Copula analysis framework, this paper discusses the nonlinear dependent structure among different RMB exchange rate markets. The research shows that, on the whole, the rattan structure using t-Copula has a good characterization effect on capturing the dependent structure between RMB exchange markets.
【作者单位】：暨南大学管理学院;西南财经大学经济信息工程学院;安徽工业大学商学院;江西财经大学金融学院;
【基金】：国家自然科学基金重大研究计划(91218301);国家自然科学基金面上项目(71171168) 教育部社科研究基金规划项目(13YJA790076,13YJA790104) 2014年教育部人文社会科学研究西部和边疆地区项目(14XJA790002) 国家留学基金(201406980031) 中央高校基本科研业务费专项资金项目(JBK1407165,JBK1507K09,JBK150504) 重庆市社会科学规划博士项目(2014BS026) 奥胡斯大学时间序列计量经济分析研究中心(CREATES)丹麦国家研究基金(DNRF78)的资助
【分类号】：F832.6

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