基于Pair Copula-GARCH-t的人民币汇率波动实证分析  

A Positive Analysis of RMB Exchange Rates Based on the Pair Copula-GARCH-t Model

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：《上海师范大学学报（哲学社会科学版）》2011年第3期32-43,共12页Journal of Shanghai Normal University(Philosophy & Social Sciences Edition)

基　　金：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"(A-3138-11-020006);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)

摘　　要：通过构建Pair copula-garch-t模型,研究人民币对美元、欧元、港元、日元和英镑五种货币汇率收益率序列波动的条件与无条件相关变动关系。实证结果表明,在C藤结构中,人民币对美元汇率序列与人民币对港元汇率序列存在显著无条件正相关,且各收益率序列下尾相关显著高于上尾相关;在D藤结构中,不存在显著无条件相关,两者汇率序列既定的条件下,其他两种汇率存在显著正相关。By building up the model called pair copula-GARCH-t,this paper studies the correlation of the RMB against the US dollar,the EURO,the Hang Kong dollar,the Yen and the Pound.It allows the conditional correlation among exchange rates to be both time-varying and modeled independently from the marginal distributions.Empirical evidence indicates that there is a significantly unconditional positive correlation between the exchange rates of USD/RMB and HKD/RMB in the canonical copula vine.In the D-copula vine,there is no significantly unconditional correlation.

关 键 词：人民币汇率 PAIR copula-GARCH-t模型 C藤结构 D藤结构 波动 

分 类 号：F830.91[经济管理—金融学]