基于格兰杰和GARCH模型对人民币即期与远期引导关系的研究  

The Study Based on the Granger Causality and GARCH Model of the Correlation of RMB Spot and Forward Exchange Rate

作　　者：原浩[1] 杨常锴 杨滟[1] 安佳[1] 

机构地区：[1]北京邮电大学,北京100876

出　　处：《经济研究导刊》2014年第19期129-132,137,共5页Economic Research Guide

基　　金：北京邮电大学大学生研究创新基金

摘　　要：采用格兰杰分析方法对2011年6月27日至2013年12月31日期间共919对人民币兑美元境内远期、香港离岸远期对境内即期汇率的引导作用进行研究,结果表明,境内远期市场和香港离岸市场的部分远期汇率对境内即期汇率有引导作用。其次使用GARCH模型检验,两个远期市场对境内即期汇率都有一定的溢出效应,且期限越小的远期汇率溢出效应越明显,香港离岸市场比境内远期市场溢出效应更明显。In this paper,the granger causality test is employed to examine the relationship between RMBdomestic spot and forward exchange rate and Hong Kong＇s R MB offshore forward exchange rate data during 27th June 2011 and 31st December 2013.The results show the evidence of unidirectional causality from some forward rates to domestic spot rate.The results from GARCH model also show the spillover effect from both domestic and offshore forward rates to spot rates.The less the term is, the more obvious the spillover effect is.And Hong Kong s RMB offshore market is more obvious than domestic market.

关 键 词：即期汇率和远期汇率 格兰杰检验 GARCH模型 

分 类 号：F830[经济管理—金融学]