基于Copula-LSV-t模型的汇率市场与黄金市场间波动溢出研究  

Research on Volatility Spillover Effect between Foreign Exchange Market and Gold Market Based on Copula-LSV-t Models

作　　者：傅强[1] 钟山[1] 

机构地区：[1]重庆大学经济与工商管理学院,重庆400030

出　　处：《预测》2013年第4期21-25,共5页Forecasting

基　　金：教育部博士点基金资助项目(20100191110033)

摘　　要：本文通过构建时变二元正态Copula-LSV-t模型,采用马尔科夫链蒙特卡洛(MCMC)方法对模型的参数进行贝叶斯估计,分阶段分析了汇率市场与黄金市场间的波动溢出效应。实证结果表明:汇率市场和黄金市场都存在着较为明显的杠杆效应,但汇率市场的杠杆效应为正,黄金市场的杠杆效应为负,且大于汇率市场;经济危机时期,汇率市场与黄金市场间存在着显著的波动溢出效应,而经济平稳时期,波动溢出效应则不明显。The paper proposes the dynamic normal Copula-LSV-t models, and uses MCMC method, which is based on Gibbs sampling, to estimate the parameters of the models. Thus, the dynamic volatility spillover between foreign exchange market and gold market can he calculated by stages. Based on Copula-LSV-t models, the empirical results show that there is obvious leverage effect in the two financial markets; In times of economic crisis, the negative time- varying volatility spillover effect between the two financial markets is obvious. However, in stable economy period, the spillover effect is not obvious.

关 键 词：波动溢出 COPULA LSV—t模型 马尔科夫链蒙特卡洛方法 

分 类 号：F830.9[经济管理—金融学]