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
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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
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.
关键词:  汇率制度  t-Copula-DCC-GARCH-skewT模型  动态相关性  系统性风险度量
DOI:10.13718/j.cnki.xsxb.2018.11.006
分类号:F830.9
基金项目:重庆市社会科学规划项目(2017YBGL151);重庆市教育委员会人文社科研究项目(18SKGH006);西南政法大学校级科研项目(2018XZQN-35).
Dynamic Correlation Analysis of RMB Exchange Rate Market
PENG Xuan-hua
School of Economics, Southwest University of Political Science and Law, Chongqing 401120, China
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.
Key words:  exchange rate volatility  t-Copula-DCC-GARCH-skewT model  dynamic correlation  systemic risk measurement
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