人民币汇率弹性与汇率弹性空间测度及其动态关联性分析  

An Analysis of Flexibility of RMB Exchange Rate and Measure of Elastic Space of Exchange Rate and its Dynamic Correlation

作　　者：郑国忠[1] 

机构地区：[1]厦门大学经济学院,福建厦门361005

出　　处：《现代财经（天津财经大学学报）》2013年第8期52-62,共11页Modern Finance and Economics：Journal of Tianjin University of Finance and Economics

摘　　要：依据汇率弹性指数理论与EWMA模型提出了构建日汇率弹性指数时序的计算方法,并通过DCC-GARCH模型对所定指标测算出的汇率弹性空间与弹性指数进行了动态相关性分析。研究结果表明:汇率弹性空间与弹性指数间存在长期均衡关系和动态正关联性;汇率波动弹性空间的设定应与汇率弹性相匹配;人民币汇率的逐步弹性化、汇率调控的逐步市场化也在一定程度上证明了人民币汇率自由化进程的加快。Based on the theory of exchange rate flexibility index and EWMA model, we put for- ward the calculation method about construction of time sequence of daily exchange rate flexibility in- dex. , through DCC--GARCH model, we make dynamic correlation analysis on elastic index and volatility space, we find that： there is a long term equilibrium relationship and positive dynamic cor relation between elastic space of exchange rate and flexibility index. Elastic space of exchange rate fluctuation should be matched with flexibility index; the gradual flexibility of RMB exchange rate and marketization of regulation, to a degree, proves the acceleration of RMB exchange rate liberal- ization process.

关 键 词：汇率弹性空间 汇率弹性指数 动态相关 

分 类 号：F830.92[经济管理—金融学]