人民币外汇市场间不对称汇率变动的实证研究

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。

Empirical Study of Asymmetric Dependence in USD/RMB Exchange Rate Markets

In the literature,multivariate GARCH model is popular in the study of the relation of USD/RMB exchange markets,which can be used to explore the linear correlation but not to accommodate the analysis of"asymmetric effect"among several markets.In this paper,we apply SJC-Copula-MGARCH model to study the dependence between SPOT market,DF market and NDF market.The results demonstrate that there are low interactions between NDF market and domestic foreign exchange markets,and that SPOT market and DF market have strong co-movement when large positive/negative shocks occur,while SPOT market and DF market,or DF market and NDF market exhibit"asymmetric effect"in the sense that there are strong co-movements between them confronted with large negative shocks(relative appreciation of RMB)but there are not co-movements with large positive shocks(relative devaluation of RMB).We explore economic mechanism of the above"asymmetric effect"and its economic implications.