摘要
英国脱欧公投结果公布后,英镑兑美元汇率当天下跌幅度达到了9%,自此之后,英镑对主要货币的汇率不断下跌,同时越来越多的金融机构开始计划撤离伦敦,英镑币值稳定性面临着较大的压力,在这种背景下,通过对脱欧前后英镑与英国主要的贸易伙伴之间货币的汇率波动性进行研究,利用时间序列模型和GARCH、BEKK-GARCH模型进行分析,研究结果发现:英国脱欧前,英镑与欧元和瑞郎、人民币之间存在较强的因果关系和相互波动关系,然而在英国脱欧后,英镑与人民币之间不存在格兰杰因果关系,但是二者的联动性在加强,同时和欧元、瑞郎之间的波动溢出关系在减弱。在实证研究的基础上,针对政府、企业和投资者提出防范英镑外汇风险的相关建议。
After the announcement of the results of the referendum,the pound fell by 9%on the same day.Since then,the exchange rate of the pound against the major currencies has been declining.At the same time,more and more financial institutions have begun to withdraw from London.The exchange rate of the pound is facing greater pressure.In this context,this paper studies the exchange rate between the pound and the major trading economies of Britain before and after the break-out of Europe.The time series model and GARCH,BEKK-GARCH models are used to analyze the exchange rate.The results show that before the break-out of Europe,there is a strong causal relationship and fluctuation relationship between the pound and the euro,the Swiss franc and the RMB.However,after the break-out of Europe in Britain,there is no Granger causality between the RMB,but the linkage is strengthened,and the volatility spillover relationship between the Pound and the Euro and the Swiss Franc is weakening.On the basis of empirical research,this paper puts forward some policy suggestions to prevent foreign exchange risk of sterling.
作者
赵琼
郭程翔
ZHAO Qiong;GUO Cheng-xiang(School of Public Finance and Taxation,Capital University of Economics and Business,Beijing 100038,China;Beijing Municipal Commission of Development and Reform,Beijing 100031,China)
出处
《经济问题》
CSSCI
北大核心
2019年第11期17-24,共8页
On Economic Problems
关键词
汇率波动性
波动溢出效应
英国脱欧
exchange volatility
volatility spillover effect
brexit
