开放进程中人民币汇率间相依性研究——基于动态Copula-GJR-t模型的分析  

Modeling the Dependence between RMB Exchange Rates in the Process of RMB's Marketing:Based on the Dynamic Copula-GJR- tModel

作　　者：谢赤[1] 张鹏[1] 曾志坚[1] 

机构地区：[1]湖南大学工商管理学院,湖南长沙410082

出　　处：《金融经济学研究》2014年第1期79-89,99,共12页Financial Economics Research

基　　金：国家自然科学基金创新研究群体项目(71221001);国家软科学研究计划项目(2010GXS5B141);教育部创新群体项目(IRT0916);教育部人文社会科学规划项目(09YJC630063);湖南省自然科学基金创新群体项目(09JJ7002)

摘　　要：构建动态Copula-GJR-t模型对汇改后人民币兑美元、欧元和日元汇率间的相依结构进行考察。研究表明:人民币兑美元与兑欧元、兑日元汇率间存在负相依性,人民币兑欧元与兑日元汇率整体上呈现正相依性;在极端事件下,各汇率间相依性较正常时期发生很大变化,但不像股票市场那样呈现增强的正相依性;人民币兑美元与兑欧元、兑日元汇率的上、下尾相依性基本为零,说明它们不存在同时大涨或大跌的可能性,而人民币兑欧元与兑日元汇率有波动较大的上、下尾相依性,说明两者存在汇率风险传染关系。This paper develops dynamic Copula-GJR -t model to examine dependence for RMB exchange rates after exchange rate system reform in 2005. The results show that： There exists negative dependence between the exchange rates of USD/RMB and EUR/RMB, USD/RMB and JPY/RMB, while there exists positive dependence between the exchange rates of EUR/RMB and JPY/RMB in the whole; the exchange rates dependence underwent a great change while it is different from the positive dependence in stock markets which en- hanced in some extreme events. Additionally, the upper and lower dependence between the exchange rates of USD/RMB and EUR/RMB, USD/RMB and JPY/RMB is closed to zero, which implies there not existing the probability of soaring or plummeting in the same time, while the tail dependence between the exchange rates of EUR/RMB and JPY/RMB appears a strong volatility, which suggests there exists risk contagion relationship between them.

关 键 词：人民币汇率 相依性 动态Copula—GJR—t模型 金融危机 风险传染 

分 类 号：F821.6[经济管理—财政学]