人民币境内外市场不同期限汇率动态关联性研究——基于VAR-MGARCH-BEKK的实证分析  

Research on Dynamic Relationship among CNY Market,NDF Market and CNH Market

作　　者：宋国军[1] 

机构地区：[1]中国人民银行青岛市中心支行,山东青岛266071

出　　处：《区域金融研究》2015年第9期29-34,共6页Journal of Regional Financial Research

摘　　要：本文运用VAR方法和VAR-MGARCH-BEKK模型,对CNY市场、NDF市场和CNH市场之间的动态关联性进行了实证分析,主要结论如下:一是波动方面,CNY市场收益率波动最为剧烈,NDF市场波动较小;二是报酬溢出方面,NDF市场收益率对CNY市场引导明显,而反之则不成立,随着合约期限的增长,NDF市场收益率对CNH市场收益率的影响变弱,而CNY市场收益率则对CNH市场的收益率的影响加强;三是波动溢出方面,三个市场之间绝大多数期限合约均存在ARCH效应和GARCH效应,但相互之间的波动溢出随着合约期限的不同而不同。In this paper,we use VAR method and VAR-MGARCH-BEKK model to research dynamic relation-ship among CNY market,NDF market and CNH market. The main conclusions are as follows： firstly,the volatilityterms,the CNY market volatility is the most acute,the NDF market volatility is smaller. Secondly,the return spill-over,the NDF market rate of return can guide the CNY market,but on the contrary is not true,with the growth of thecontract period,the impact of NDF market on CNH market becomes weak. Finally,the volatility spillover,there areARCH and GARCH effect among CNY market,NDF market and CNH market,but the volatility spillover betweeneach other and with the contract period is different.

关 键 词：汇率 NDF市场 多元GARCH 波动溢出 

分 类 号：F822.0[经济管理—财政学]