人民币汇率波动对我国行业风险影响研究  

The Empirical Study of the Impact of the RMB Exchange Rate Fluctuations on the Industry Risk

作　　者：周梅[1] 薛凯民 

机构地区：[1]北方工业大学理学院统计系,北京100144

出　　处：《数学的实践与认识》2014年第24期49-53,共5页Mathematics in Practice and Theory

基　　金：北京市教育委员会科技计划面上项目(KM201310009013)

摘　　要：以2008年1月7日到2012年3月30日为样本数据,建立基于广义误差分布的GARCH模型.结果表明,行业指数收益率波动具有"长期记忆性"并且股市价格的波动呈现非对称性,即存在杠杆效应.改变了以往运用总体角度方法,以行业角度出发,同时引入了流动性风险这一控制因素,分析汇市与股市的关系,结论更具有现实意义.To study the January 7,2008 to March 30,2012 period,according to the characteristics of the industry,the model is based on the generalized error distribution model of GARCH sequence group.T The results show that,the industry index volatility has a ＂longterm memory＂,and stock market price fluctuation is asymmetric,namely the presence of leverage effect.In this paper the characteristics of changed the previous use of overall angle method,to the industry point of view for the access points,and at the same time introduces the liquidity risk the control factors,currencies and stock market analysis,conclusion has more realistic significance.

关 键 词：人民币汇率 行业风险 GARCH模型 

分 类 号：F832.6[经济管理—金融学] F832.51