货币错配波动的集聚性及与汇率、利率的联动性——基于向量TGARCH-BEKK模型  

On Aggregation and Linkage of Fluctuation in Currency Mismatch:Based on Vector TGARCH-BEKK Model

作　　者：王中昭[1] 

机构地区：[1]广西大学商学院,广西南宁530004

出　　处：《中南财经政法大学学报》2010年第2期70-76,共7页Journal of Zhongnan University of Economics and Law

基　　金：国家社会科学基金资助项目"汇率政策与货币错配协动性及其传导机制研究"(09BJY107)

摘　　要：中国货币错配波动具有明显的非对称性，不具有尖峰性，但具有长记忆特性。向量TGARCH—BEKK模型的分析结果表明：货币错配程度减弱时其波动集聚性更强，波动集聚性滞后效应持续约6～7年；货币错配受到汇率冲击的溢出效应比利率冲击大；1994年汇率改革后货币错配与汇率呈弱化趋势，但货币错配与利率的联动性增强；亚洲金融危机期间的货币错配与汇率联动性明显增强，金融危机冲击对贷币错配产生倒“U”型脉冲效应；总体来看，人民币汇率升值虽然不利于货币错配波动集聚性的弱化，但可以减弱国家层面货币错配程度。The currency fluctuation mismatch in China is obviously asymmetric,does not have peak characteristic,but has long memory characteristic.TGARCH-BEKK models of vector analysis results indicate that when the degree of currency mismatch weakens,the aggregation of fluctuation will be stronger,and its lagging effect will last about 6—7 years;the spillover effects of currency mismatch by the impact of exchange rate is stronger than interest rate.After the exchange rate reform in 1994,currency mismatch and exchange rate present weakening trend,but the linkage of currency mismatch and interest rate enhances.During the Asian financial crisis,the linkage of currency mismatch and exchange rate enhanced obviously,and formed a strong and adverse 'U' type impulsive effect chart.Overall,the RMB exchange rate appreciation is not helpful to the weakening of the aggregation of fluctuation in currency mismatch,but can weaken the degree of currency mismatch at national level.

关 键 词：货币错配 汇率 利率 向量TGARCH—BEKK模型 

分 类 号：F830.9[经济管理—金融学]