摘要
汇率改革重启后,人民币汇率双向波动幅度不断上升。人民币汇率与其他汇率的联动效应也随着国际化水平的提升而明显增强。基于人民币、欧元、英镑和日元4种货币兑美元汇率近6年的日收盘价,论文建立汇率收益率均值模型和残差服从多元广义误差分布的BEKK-MGARCH波动率模型。为了检验分析汇率波动的交互溢出效应,论文创新性地采用Delta方法构造t统计量,从而进行显著性分析。实证表明汇率波动存在显著的溢出效应,其中人民币兑美元与英镑兑美元波动之间存在显著的交互溢出效应。
After the restart of exchange rate reform, the volatility of RMB keeps rising. The co-movement between RMB and other currencies has also increased significantly with the process of RMB internationalization. Based on four exchange rates, this paper estimates a mean model for the yields and BEKK-MGARCH volatility model for the residuals which are assumed to follow multivariate generalized error distribution. In order to conduct significance test, this paper innovatively adopts "Delta method" to construct t statistics. The empirical evidence finds that the volatility of exchange rates shows significant spillover effects. Interactive spillover effects are very strong between volatility of the USD/RMB and USD/GBP exchange rates.
作者
薛程
王程
Xue Cheng;Wang Cheng(Business School,Nankai University,Tianjin 300071,China;China Construction Third Engineering Bureau City Investment Operation Co.,LTD,Wuhan Hubei 430000,China)
出处
《未来与发展》
2020年第5期99-109,共11页
Future and Development
基金
国家自然科学基金(管理学部)重点项目:大数据驱动下的管理决策算法与模型(71532001)
国家自然科学基金(数理学部)重点项目:受控过程的随机动态规划(11631004)
天津哲学社会科学规划重点项目:公司治理中期权价值敏感度和高管层治理风险的认知心理研究(TJGL19-008)资助。
