摘要
本文采用汇率日交易数据,通过构建VAR-GARCH-BEEK模型分阶段实证研究了人民币对东亚货币汇率波动溢出效应,结果表明:金融危机前、金融危机期间和二次汇改后三个时期,人民币与菲律宾比索、港币、新加坡元之间的波动溢出效应最为显著;相比金融危机期间,二次汇改后人民币与东亚货币汇率波动溢出效应有明显增强。文章最后对人民币参与东亚汇率合作提出相应的政策建议。
By using daily exchange rate transaction data, the paper constructs VAR-GARCH-BEEK model and analyzes the volatility spillover effects between the RMB and the East Asian currency exchange rate in different stages. The results show that during the three periods of before and during the financial crisis and after the second foreign exchange rate reform, the volatility spillover ef- fects between RMB and Philippine peso, Hong Kong dollars and Singapore dollars are the most significant. The volatility spillover ef- fects between RMB and East Asian currencies exchange rates after the second exchange rate reform has been significantly boosted compared to that during the financial crisis. Finally, the paper puts forward corresponding policy recommendations on RMB＇s partici- pating in the exchange rate cooperation in East Asia.
出处
《西部金融》
2013年第8期17-22,共6页
West China Finance
基金
广东省哲学社科规划青年项目(编号:GD10YYJ07)的部分研究成果
关键词
人民币汇率
溢出效应
东亚汇率合作
RMB exchange rate
spillover effect
East Asian exchange rate
