国际金融市场动荡和人民币NDF汇率的动态关系分析  

The Dynamic Relationship between Volatility of International Financial Markets and RMB NDF Exchange Rate

作　　者：许祥云[1] 朱钧钧[2,3] 郭朋 

机构地区：[1]南京财经大学国际经贸学院 [2]上海交通大学 [3]中国金融期货交易所 [4]上海期货交易所

出　　处：《国际金融研究》2013年第6期67-77,共11页Studies of International Finance

基　　金：江苏高校优势学科建设工程资助项目;全国博士后基金(项目编号:2012M510830)的支持

摘　　要：本文使用DCC-GARCH模型实证分析了国际金融市场动荡程度(VIX指数、TED利差)与人民币NDF汇率之间的关系。结果表明,在金融危机之前,VIX指数与NDF之间没有明显关系,金融危机后相关系数迅速增加,并一直维持在较高的水平上,直到2012年8月中旬,之后出现了明显下降。我们认为,这种相关关系的时变性源于人民币升值预期主要因素的时变性。TED利差则在总体上与NDF相关性不显著,只在危机"紧急"阶段才表现出一定的相关性,这可能与TED利差的自身特点有关。我们还在理论上分析了国际金融市场动荡影响NDF的传导渠道。We apply DCC-GARCH model to analyze the relationship between volatility of International Financial Markets （VIX, TED spread） and RMB NDF Exchange Rate, and find that there was no significant correlation between VIX and NDF before the collapse of Lehman Brothers in 2008, but the correlation coefficient increased quickly after the outbreak of the Financial Crisis and was relatively stable until Sept. 2012. As explanation, the time-varying relationship may be related to the changing pattern of RMB appreciation pressure. But TED spread has no significant impact on NDF as a whole except in crisis period. This may be explained by the characteristic of TED spread. We also analyze the transmission channels of VIX to NDF rate.

关 键 词：NDF汇率 VIX TED利差 DCC—GARCH模型 

分 类 号：F831[经济管理—金融学]