人民币与东亚国家货币汇率动态联动研究——基于VAR-MVGARCH-BEKK模型的实证分析  

The Research of Exchange Rate Dynamic Linkage Between RMB and the Main Currencies in East Asia Based on VAR-MVGARCH-BEKK Model

作　　者：蔡彤娟[1,2] 陈丽雪[2] 

机构地区：[1]"中国-东盟区域发展协同创新中心" [2]对外经济贸易大学国际经济研究院

出　　处：《亚太经济》2016年第5期23-29,共7页Asia-Pacific Economic Review

基　　金：中国-东盟区域发展协同创新中心科研专项;教育部长江学者和创新团队发展计划联合资助;项目名称为"人民币区域化视角下的人民币与东盟国家货币汇率动态联动研究(项目编号:CW201518)

摘　　要：运用2005年7月21日-2015年11月11日的汇率日度数据,通过构建VAR-MVGARCH-BEKK模型分三阶段检验了人民币与东亚主要货币汇率之间的动态联动效应及其变化。二次汇改后人民币与东亚主要货币汇率的联动性及持续性显著增强,这表明人民币汇率改革有助于推动人民币区域化,人民币区域化的条件不断成熟。现阶段应继续深化人民币汇率改革,推动东亚区域货币金融合作,特别是加强同日韩的货币合作。The data set of this paper comprises daily observations over the period July 21, 2005 to November 11, 2015. By constructing VAR-MVGARCH-BEKK model in three phases, this paper tests the dynamic linkage effects and changes between RMB and the national currencies in East Asia. The results show that： exchange rate linkage and continuous between RMB and the main national currencies significantly enhance after the second exchange reform of RMB, which indicates that the RMB exchange rate reform will help to promote the regionalization of RMB and RMB regionalization condition matures constantly. At this stage we suggest continuing to further improve the reform of the RMB exchange rate to promote regional monetary and financial cooperation in East Asia, in particular to strengthen cooperation with Japan and South Korea＇s currency.

关 键 词：人民币汇率 联动效应 东亚主要货币 VAR—MVGARCH—BEKK模型 

分 类 号：F831.6[经济管理—金融学]