| 人民币与欧元、美元、日元之间的汇率联动分析 |
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| 引用本文： | 郭珺,滕柏华.人民币与欧元、美元、日元之间的汇率联动分析[J].经济问题,2011(7). |
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| 作者姓名： | 郭珺 滕柏华 |
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| 作者单位： | 对外经济贸易大学国际贸易学院;北京邮电大学世纪学院; |
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| 摘 要： | 利用向量自回归模型和多变量GARCH模型,对人民币汇率改革以来人民币、欧元、美元和日元之间的收益溢出效应和波动溢出效应进行了研究。结果显示欧元、美元和日元对人民币存在显著的收益溢出效应和波动溢出效应,但是人民币对其他几种货币的收益溢出效应和波动溢出效应并不显著。研究结果表明,人民币汇率形成机制改革以来,人民币汇率正在融入世界主要货币汇率市场,但是人民币汇率市场尚不成熟,目前我国仍然应该实行有管理的浮动汇率制度。
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| 关 键 词： | 人民币汇率 国际联系 溢出效应 向量自回归模型 多变量GARCH模型 |
Dynamic Linkage Analysis to the Exchange Rates of RMB,the Euro,the Dollar and the Yen |
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| GUO Jun,TENG Bai-hua.Dynamic Linkage Analysis to the Exchange Rates of RMB,the Euro,the Dollar and the Yen[J].On Economic Problems,2011(7). |
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| Authors: | GUO Jun TENG Bai-hua |
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| Institution: | GUO Jun1,TENG Bai-hua2 (1.School of International Trade and Economics,University of International Business and Economics,Beijing 100029,China,2.School of Century,Beijing University of Post and Telecommunocations,Beijing 102613,China) |
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| Abstract: | This paper analyzes the dynamic linkages among exchange rates of Chinese Yuan euro,USA dollar and Japanese yen.Using vector autoregressive model and multivariate generalized autoregressive conditional heteroskedasticity model,we have found that the spillover of exchange rates returns and volatilities from the Euro,the U.S.Dollar and Japanese Yen to Chinese Yuan are significant,but the inverse relationships are insignificant.The results show that the Chinese Yuan exchange rates market is partially integrated... |
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| Keywords: | RMB exchange rate international linkage spillover VAR model MGARCH model |
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