波动率区制依赖性特征：中国官方外汇市场和外汇黑市的结构分析（1981～2006）  

The Volatility Regime Dependence:Structural Analysis between Official and Black Foreign Exchange Market in China(1981～2006)

作　　者：王喜军[1] 林桂军[1] 

机构地区：[1]对外经济贸易大学国际经济贸易学院,北京100029

出　　处：《金融研究》2008年第11期76-86,共11页Journal of Financial Research

摘　　要：本文采用了MSIH-VECM模型分析了1981～2006年间我国官方外汇市场与外汇黑市的区制依赖性的结构特征。实证结果表明,所使用的非线性模型要优于传统的线性VECM模型,并能有效地捕捉到结构上的突变。本文的研究还发现,我国的官方外汇市场和外汇黑市存在长期的稳定关系。最后,通过区制状态的划分。对政府在各区制下应采取何种政策提出建议。This paper uses MSIH-VECM model to analyze the volatility regime-dependent structure between official and black foreign exchange markets in China from 1981 to 2006. The result proves that the nonlinearity model is better than the traditional linearity VECM model and can capture the structural changes between them. The paper also finds that there is stable relationship between official and black foreign exchange markets in the long run. At last, through classifying three regimes, some policy suggestions and new method are proposed for the government under different regimes.

关 键 词：MSIH—VECM模型 区制 波动率 相关度 

分 类 号：F224[经济管理—国民经济] F832.6