人民币汇率对东盟各国汇率传染及其时变相关有效性研究  

The Infectivity of RMB Exchange Rate to ASEAN Countries and the Effectiveness of Their Time-Varying Correlation Research

作　　者：王中昭[1] 杨文[2] 

机构地区：[1]广西大学商学院商务信息管理系 [2]广西大学商学院

出　　处：《国际金融研究》2014年第11期56-66,共11页Studies of International Finance

基　　金：国家社会科学基金项目"基于条件约束的人民币国际化情景模拟与对策"(13BGJ038);八桂学者和创新团队发展计划(编号:CWZ201401);广西"八桂学者创新团队"项目"中国-东盟经济合作研究"子项目"人民币汇率对东盟各国汇率影响机制及其区域性特征研究"资助

摘　　要：本文以人民币汇率对东盟各国汇率传导的有效性作为研究对象,通过构建VAR-DCC-MVGARCH模型和结构突变模型,分析了中国与东盟各国汇率的时变相关性、传染性和结构突变等问题。结果表明:(1)人民币汇率短期波动对东盟各国形成了一定的区域性辐射能力。(2)中国等外部因素对东盟各国汇率的波动影响平均仅占6%左右,各国汇率自身的波动集聚性起主导作用。人民币汇率对大多数东盟国家汇率传导有效,但持续性特征不存在。(3)中国与东盟汇率时变相关系数均为带有结构突变无单位根的趋势平稳过程,存在短期动态联动滞后效应,外部因素不能改变其长期均衡运行路径。(4)时变相关结构突变并没有改变人民币带动大多数东盟国家货币升值趋势,呈现出"传染性升值",传导的有效性从弱到强,区域货币联动趋势的雏形初现。This paper studies the conducting effect of exchange rate of RMB to ASEAN countries, using VAR-DCC- MVGARCH model and structure mutation model to analyze several questions such as the time-varying correlation, the infec- tivity and the structure mutation between and among them. The results are as followed： 1. The short-term fluctuation of RMB exchange rate has exerted some regional radiation influence on the ASEAN countries. 2. External factors besides China, con- tribute only 6% of the exchange rate fluctuation of ASEAN countries in average, with the exchange rate volatility clustering it- self playing a leading role. The conduction of RMB rate to most ASEAN countries＇ currency rates is effective, but the effect is not persistent. 3. The time-varying correlation coefficient of exchange rate of China and ASEAN countries is subject to the trend stationary process of structure mutation with no unit root, therefore there exists a short-term dynamic linkage lag effect, while external factors can＇t change its long-term equilibrium path. 4 Time-varying structure mutation does not change the trend that RMB drives the appreciation of most ASEAN currencies, but demonstrates the ＂contagious appreciation＂ phe- nomenon, with the effectiveness of conduction ranging from weak to strong, which means the regional currency linkage is tak- ing shape.

关 键 词：人民币 汇率 东盟 VAR-DCC—MVGARCH模型 结构突变 

分 类 号：F831[经济管理—金融学]