基于Copula-vines的欧元汇率波动相关性实证研究  

Empirical Research on the Correlation of Euro Exchange Rates Based on Copula-vines

作　　者：崔百胜[1] 

机构地区：[1]上海师范大学金融学院,上海200234

出　　处：《华东经济管理》2011年第6期74-78,共5页East China Economic Management

基　　金：上海市哲学社会科学规划课题"不对称违约传染的供应链融资企业信用风险评价研究"(2009BJB022);上海市教委科研创新重点项目"基于Copula-GARCH-VaR算法的股指期货套期保值组合最优扣减比率评估研究"(09ZS142);上海师范大学原创与前瞻性课题"copula函数在非寿险公司动态财务分析中的应用研究"

摘　　要：欧洲债务危机后,欧元汇率变动趋势值得关注。文章利用copula vines类模型,在考虑汇率条件波动相关性及汇率波动边际分布独立性的条件下,研究了欧元对美元、人民币、港元和日元四种货币汇率波动的相关性。研究结果表明,欧元对美元汇率同欧元对其他三种货币汇率波动存在不一致性,而在欧元对美元汇率既定条件下,欧元对人民币汇率与欧元对港元汇率、欧元对日元汇率的条件相关基本一致,在欧元对美元汇率、欧元对人民币汇率不变的情况下,欧元对港元汇率同欧元对日元汇率的相关性程度很低。The change of Euro exchange rates are worth to pay attention after the debt crisis in Europe. This paper uses a new model which is called copula-vines to analyze the correlation of the Euro against the US dollar, the China Yuan, the Hong Kong dollar and the Yen, on the conditio of correlation and marginal distributions independently among exchange rates. The results show that the exchange rate of the Euro against the US dollar is not consistent with the fluctuations of the exchange rates of the Euro against the other three currencies. The conditional correlations are almost consistent between the exchange rates of the Euro against the Yuan and the Euro against the Yen if the exchange rate of the Euro against the US dollar is fixed. The correlation degree of the Euro against Hong kong dollar and the Euro against Yen is very weakly if the exchange rates of the Euro against the US dollar and the Euro against the Yuan are fixed.

关 键 词：COPULA VINES 欧元汇率 波动 相关性 

分 类 号：F406.7[经济管理—产业经济]