基于变结构Copula模型的股市与汇市间波动溢出效应研究  

Empirical Study on the Volatility Spillover Effect between Exchange Market and Stock Market :A Variable Structure Copula approach

作　　者：吴智昊[1] 

机构地区：[1]浙江工商大学,浙江杭州310018

出　　处：《金融发展研究》2015年第2期3-7,共5页Journal Of Financial Development Research

摘　　要：本文采用变结构Copula模型对我国股、汇市间的波动溢出效应进行研究。利用二元正态Copula函数的时变相关系数得出美元对人民币汇率与沪深300指数间相关关系的变结构点,再利用混合Copula模型分段检验波动溢出效应。实证结果表明,汇改以来,美元对人民币汇率与沪深300指数间存在着长期而显著的波动溢出效应。在次贷危机发生期间,美元对人民币汇率与沪深300指数间相关关系的变结构点增多,尾部相关性增强,两市间的波动溢出效应显著增强。因此,应加强对波动溢出传导中介的管理,减轻波动溢出效应的负面影响。The paper presents a variable structure Copula to study volatility spillover effect between China stock market and exchange market. Base on the structural change points derived from time-varying coefficient of the correlation between the dollar to the RMB exchange rate and the CSI 300 Index,using M-Copula model to analyze the volatility spillover effects on each segment. The empirical results suggest the existence of a long-term and significant volatility spillover effect between China stock market and exchange market since the reform of RMB exchange rate formation mechanism. During the subprime crisis,the number of structural change points increased and the tail dependence between two markets enhanced. So the authority should manage the mediating variables of volatility spillover effect effectively to reduce the negative impact.

关 键 词：人民币汇率 波动溢出效应 变结构Copula模型 

分 类 号：F830.91[经济管理—金融学]