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现有关于人民币汇率各市场间关系的研究一般是基于多元GARCH模型,探讨各市场间的线性相关关系,未能考虑各市场间汇率变动可能存在的“不对称效应”:面临正(反)向的较大冲击时,各市场汇率变动表现出同步性;而面临反(正)向的较大冲击时,各市场汇率变动不同步。本文运用SJC-Copula-MGARCH模型对人民币汇率境内SPOT市场、境内DF市场和境外NDF市场之间的相依关系进行实证分析,发现境内汇率市场(SPOT市场和DF市场)和境外NDF市场间的联系仍较弱;SPOT-DF市场在面临大的正冲击和负冲击时均表现出较强的联动性,而SPOT-NDF市场和DF-NDF市场在面临大的冲击时汇率变动表现出“不对称效应”:在面临大的正冲击(人民币相对贬值)时,境内汇率市场和境外NDF市场汇率变动不同步,当面临大的负冲击(人民币相对升值)时,境内汇率市场和境外NDF市场汇率变动表现出较强的同步性。本文进一步分析了上述“不对称效应”的经济机理,探讨了其经济学含义。
The existing research on the relationship between the RMB exchange rate markets is generally based on the multivariate GARCH model to explore the linear correlation between markets and fails to consider the possible “asymmetric effect” of the exchange rate changes between markets: ), The exchange rate changes in each market show synchronization. In the face of a large impact from the (positive) direction, the exchange rate movements in various markets are not synchronized. This paper uses the SJC-Copula-MGARCH model to analyze the dependence of RMB exchange rate on domestic SPOT market, domestic DF market and overseas NDF market. It is found that the relationship between domestic exchange rate market (SPOT market and DF market) and overseas NDF market Weak SPOT-DF market showed a strong linkage in the face of large positive and negative shocks, while the SPOT-NDF market and DF-NDF market showed a large impact on the exchange rate changes show “asymmetry Effect ”: In the face of a big positive impact (the relative devaluation of RMB), the domestic exchange rate market and foreign NDF market exchange rate movements are not synchronized, when faced with a large negative impact (relative appreciation of the renminbi), the domestic exchange rate market and foreign NDF market exchange rate Changes show a strong synchronization. This paper further analyzes the above economic mechanism of “asymmetric effect” and discusses its economic implications.