Copula-Based Risk Management Models for Multivariable RMB Exchange Rate in the Process of RMB Internationalization  

作　　者：DU Jiangze LAI Kin Keung 

机构地区：[1]School of Finance, Jiangxi University of Finance and Economics [2]Department of Industrial and Manufacturing Systems Engineering, Hong Kong University [3]International Business School, Shaanxi Normal University

出　　处：《Journal of Systems Science & Complexity》2017年第3期660-679,共20页系统科学与复杂性学报（英文版）

基　　金：supported by Strategic Research Grant of City University of Hong Kong under Grant No.7004268

摘　　要：This paper investigates the dependence of the exchange rate of onshore Renminbi(RMB)and offshore RMB against US dollar(i.e., CNY and CNH) based on copula models. Eleven different copulas were selected to construct multivariate distribution and estimate the value-at-risk for RMB exchange rate. Empirical results show that time-invariant Student-t copula is the best model to fit the sample data. The positive upper and lower dependence indicates that CNY and CNH series tend to move in the same direction. Moreover, the dependence between the two exchange rates is asymmetric,which means that traditional models, such as Pearson's correlation, are inappropriate to measure the correlations between these markets. The best fitted model is chosen to estimate the financial risk,which can help business practitioners and policymakers track risk evolution and make good decisions.

关 键 词：Copula modeling RMB exchange rate RMB internationalization value-at-risk. 

分 类 号：F832.6[经济管理—金融学]