信息传递效率、货币传染与东亚汇率波动溢出分析

本文运用Cheung和Ng交叉相关系数方法,对东亚六国货币①——人民币、日元、韩元、泰国铢、新加坡元和林吉特的名义美元汇率波动溢出进行检验,发现东亚汇率波动溢出普遍存在且具有不对称性和多层次溢出特征。实证结果还表明,日元交易商能更加有效处理来自人民币、韩元、泰铢、新加坡元和林吉特五种货币的信息,而人民币交易商对处理来自日元、泰铢、新加坡元等货币的信息效率不高。

The Efficiency of Information Transmission, Currency Contagion and the Analysis of Spillovers of Exchange Rate Volatility of East Asian Currencies

Using the residual cross-correlation approach proposed by Cheung and Ng,this paper examines the volatility spillovers between currencies of six East Asian countries,namely RMB,JPY,KRW,THB,SGD and MRY,and nominal U.S.dollar exchange rates.It finds out that volatility spillovers between East Asian currencies do exist and are asymmetric and multi-leveled.The empirical results show that traders of Japanese yen process information derived from five currencies,namely RMB,KRW,THB,SGD and MRY rapidly,while traders of Chinese RMB can not process information derived from other currencies efficiently.