基于混合C藤Copula的我国一篮子货币汇率相依结构研究  

Study on Dependence Structure of RMB Exchange Rates with Basket of Currencies Based on Mixed C-vines

作　　者：张国富[1] 杜子平[1] 张俊[1] 

机构地区：[1]天津科技大学经济与管理学院

出　　处：《数学的实践与认识》2014年第11期74-84,共11页Mathematics in Practice and Theory

基　　金：国家自然科学基金(71071111);天津市哲学社会科学规划课题(TJYY13-047);教育部人文社会科学规划基金(11YJC790119);天津科技大学科研基金(20120234)

摘　　要：利用C藤模型及人民币对欧元、澳元、日元、美元、卢布、加元、英镑、林吉特的汇率数据,构建了我国一篮子货币汇率的C藤结构,用来描述各汇率间的相依结构.结果表明,人民币对欧元的汇率是中心汇率,也就是说,一篮子货币汇率的决定很大程度上依赖于人民币对欧元的汇率.人民币对欧元汇率与人民币对其它国家货币汇率的相依程度反映了不同市场的强弱和市场间进出口贸易额的大小.进一步,混合C藤中各根节点的排序一定程度上反映了货币篮子中各国的经济实力及与我国的贸易额大小.Based on mixed C-vines, this paper investigates the dependence structure ofRMB exchange rates with basket of currencies. Using the data of RMB exchange rateagainst EURO, Australian dollar, Japanese Yen, US dollar, Russian ruble, Canadian Dollar,Malaysian Ringgit, it reveals that the exchange rate between the RMB and the EURO is thecentral exchange reat, i.e. that the exchange rates of our data set dependent to a greateror lesser extent on the exchange rate of the RMB to the EURO. The strong correlationsbetween the exchange rate of the EURO to the RMB and the other exchange rates to theRMB can be explained by the power of the different markets and the export and import.Furthermore, the order of root nodes in mixed C-vines also shows the economic power andthe trade route of the different markets.

关 键 词：相依结构 C藤copula 汇率 

分 类 号：F224[经济管理—国民经济] F832.6