摘要
本文的目的是分析外部政治压力是否影响人民币兑美元汇率的日收益率和条件波动率,为此,本文构建了涉及施压人民币汇率的几个政治压力指标。基于事件分析法和GARCH模型的研究表明,外部政治压力对人民币/美元汇率日收益率影响不显著,但显著影响人民币兑美元汇率的条件波动率。进一步,本文基于香港金融管理局的人民币/美元套算汇率,分析了外部政治压力对香港市场人民币/美元套算汇率的影响。研究结果表明,来自美国的政治压力,尤其是中美双边接触下的政治压力显著影响香港市场人民币/美元套算汇率的条件波动率。
Based on the method of event studies and GARCH model, we construct several external political pressure indicators pertaining to the RMB exchange rate and find that external political pressure does not have a significant influence on the daily returns of RMB/U.S.Dollar exchange rate, but has statistically significant impacts on the conditional volatility of RMB exchange rate. Based on the cross-rate of RMB/U.S.Dollar from Houg Kong Monetary Authority, this paper further analyzes the impact of external political pressures on the RMB/U.S.Dollar exchange rate in Hong Kong. The result shows that the political pressures from the U.S, especially the political pressures from Sino-US bilateral contact have statistically significant impacts on the conditional volatility of the RMB/U.S.Dollar exchange rate.
出处
《国际金融研究》
CSSCI
北大核心
2013年第12期26-34,共9页
Studies of International Finance
基金
教育部人文社会科学研究青年基金项目"人民币汇率的决定模型及其变化趋势研究"(10YJC790088)的阶段成果
