摘要
本文利用发达市场和新兴市场8个国家和地区货币兑瑞士法郎汇率日数据,构建BEKK-MGARCH模型,分别研究近十年和人民币汇改至今这两段时间,人民币分别同发达市场和新兴市场国家跨市场货币汇率的波动传导效应。结果发现,人民币和美元之间存在着显著的交互波动传导效应关系。在人民币汇改后,人民币汇率表现出更强的波动传导效应,除欧元外,均对美元、日元和英镑汇率有着显著的直接波动传导效应。在新兴市场金砖四国所构建的汇率波动传导效应模型中,无论是在近十年还是在人民币汇改后,人民币相比于金砖四国其他货币具有更强的波动传导效应,但除卢布外,金砖四国的其他货币对人民币汇率的波动传导效应不显著。
In this paper, we take the developed and emerging markets including 8 countries and regions＇ daily exchange rate against the Swiss franc to construct BEKK - MGARCH model and study the RMB cross markets exchange rate volatility transmission effect with developed and emerging markets during two periods of recent 10 years and after RMB exchange rate reform. It is found the RMB and the U.S. dollar has a significant interaction volatility transmission effect. After the exchange rate reform in China, the RMB exchange rate has a stronger volatility transmission effects. Except for the euro, RMB exchange rate directly transmits volatility to the U. S. dollar, yen and British pound exchange rate significantly. In the model constructed by the BRICs countries currencies, whether in the past decade or after the foreign exchange reform in China, compared with other currencies in the BRICs countries ？ RMB has a stronger volatility effects. However, except for ruble, the other BRICs countries currencies＇ volatility transmission effect against the RMB exchange rate is not significant. Finally, the paper discusses the suggestions based on the RMB exchange rate volatilitv transmission effect.
出处
《金融研究》
CSSCI
北大核心
2013年第6期46-59,共14页
Journal of Financial Research
基金
上海财经大学应用统计研究中心
上海财经大学研究生科研创新基金项目-<人民币有效汇率指数编制及其长期均衡测算和波动传导效应研究>(批准号:CXJJ-2012-420)资助
