中、美、日实际均衡汇率模型的构建及实证研究

本文基于BEKK-MGARCH模型建立了中、美、日三国的实际均衡汇率方程和方差方程,对1994年以来中国、美国和日本的实际均衡汇率及其波动溢出效应进行了深入细致的分析。结果表明:三个国家的实际均衡汇率受其经济基本面因素的影响不同,人民币实际均衡汇率还受到了美元和日元实际汇率的影响;中美、中日、美日之间的联动关系存在显著的ARCH和GARCH效应。     

Time-varying correlations in oil,gas and CO2 prices: an application using BEKK,CCC and DCC-MGARCH models

Previous literature has identified oil and gas prices as being the main drivers of CO₂ prices in a univariate Generalized Autoregressive Conditional Heteroscedasticity (GARCH) econometric framework (Alberola et al., 2008; Oberndorfer, 2009). By contrast, we argue in this article that the interrelationships between energy and emissions markets shall be modelled in a Vector Autoregressive (VAR) and Multivariate GARCH (MGARCH) framework, so as to reflect the dynamics of the correlations between the oil, gas and CO₂ variables overtime. Using the Baba–Engle–Kraft–Kroner (BEKK), Constant Conditional Correlation (CCC) and Dynamic Conditional Correlation MGARCH (DCC-MGARCH) models on daily data from April 2005 to December 2008, we highlight significant own-volatility, cross-volatility spillovers, and own persistent volatility effects for nearly all markets, indicating the presence of strong Autoregressive Conditional Heteroscedasticity (ARCH) and GARCH effects. Besides, we provide strong empirical evidence of time-varying correlations in the range of [?0.3;?0.3] between oil and gas, [?0.05;?0.05] between oil and CO₂, and [?0.2;?0.2] between gas and CO₂, that have not been considered by previous studies. These findings are of interest for traders and utilities in the energy sector, but also for a broader applied economics audience.