人民币汇率市场联动特征分析

彭选华

doi:10.13718/j.cnki.xsxb.2018.11.006

西南师范大学学报(自然科学版)

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人民币汇率市场联动特征分析

彭选华. 人民币汇率市场联动特征分析[J]. 西南师范大学学报(自然科学版), 2018, 43(11): 30-35. doi: 10.13718/j.cnki.xsxb.2018.11.006

引用本文:

彭选华. 人民币汇率市场联动特征分析[J]. 西南师范大学学报(自然科学版), 2018, 43(11): 30-35. doi: 10.13718/j.cnki.xsxb.2018.11.006

PENG Xuan-hua. Dynamic Correlation Analysis of RMB Exchange Rate Market[J]. Journal of Southwest China Normal University(Natural Science Edition), 2018, 43(11): 30-35. doi: 10.13718/j.cnki.xsxb.2018.11.006

Citation:

PENG Xuan-hua. Dynamic Correlation Analysis of RMB Exchange Rate Market[J]. Journal of Southwest China Normal University(Natural Science Edition), 2018, 43(11): 30-35. doi: 10.13718/j.cnki.xsxb.2018.11.006

人民币汇率市场联动特征分析

彭选华

西南政法大学经济学院, 重庆 401120

Dynamic Correlation Analysis of RMB Exchange Rate Market

PENG Xuan-hua

School of Economics, Southwest University of Political Science and Law, Chongqing 401120, China

摘要: 融合Copula理论和GARCH有偏T模型，构建了汇率波动的t-Copula-DCC-GARCH-skewT模型，对中、美、欧3大经济体货币汇率USD-CNY和EUR-USD进行实证研究.该模型能够捕捉到人民币汇率之间的动态相关性.相关曲线展现了3大经济体在汇率制度上的阶段性联动特征，表明中、美、欧等经济体货币汇率联动性有利于人民币国际化的汇率制度建设以及世界经济的共同治理和系统性风险防范.
- 汇率制度 /
- t-Copula-DCC-GARCH-skewT模型 /
- 动态相关性 /
- 系统性风险度量
Abstract: With the global economic growth mechanism of regional metastases, RMB internationalization level enhances unceasingly, which makes the study of exchange rate fluctuations in the price of nonlinear correlation has important significance. This paper connects copula with GARCH model, and builds t-Copula-DCC-GARCH-skewT model to the empirical research on the exchange rate of RMB, USD-CNY and EUR-USD. The results show that 1) our model can capture the potentially dynamic correlations between exchange rates in China, US and Europe; 2) the dynamic correlation curve shows that the three major economies have linkage characteristics on the exchange rate. In turn, it can help to measure accurately regional investment risk, and be also helpful for the construction of China's capital market internationalization.
- exchange rate volatility /
- t-Copula-DCC-GARCH-skewT model /
- dynamic correlation /
- systemic risk measurement .

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人民币汇率市场联动特征分析

彭选华

西南政法大学经济学院, 重庆 401120

收稿日期: 2016-12-22

关键词:

摘要: 融合Copula理论和GARCH有偏T模型，构建了汇率波动的t-Copula-DCC-GARCH-skewT模型，对中、美、欧3大经济体货币汇率USD-CNY和EUR-USD进行实证研究.该模型能够捕捉到人民币汇率之间的动态相关性.相关曲线展现了3大经济体在汇率制度上的阶段性联动特征，表明中、美、欧等经济体货币汇率联动性有利于人民币国际化的汇率制度建设以及世界经济的共同治理和系统性风险防范.

English Abstract

Dynamic Correlation Analysis of RMB Exchange Rate Market

西南政法大学经济学院, 重庆 401120

Received Date: 2016-12-22

Keywords:

Abstract: With the global economic growth mechanism of regional metastases, RMB internationalization level enhances unceasingly, which makes the study of exchange rate fluctuations in the price of nonlinear correlation has important significance. This paper connects copula with GARCH model, and builds t-Copula-DCC-GARCH-skewT model to the empirical research on the exchange rate of RMB, USD-CNY and EUR-USD. The results show that 1) our model can capture the potentially dynamic correlations between exchange rates in China, US and Europe; 2) the dynamic correlation curve shows that the three major economies have linkage characteristics on the exchange rate. In turn, it can help to measure accurately regional investment risk, and be also helpful for the construction of China's capital market internationalization.