人民币与“一带一路”主要国家货币汇率动态联动研究——基于VAR-DCC-MVGARCH-BEKK模型的实证分析  

Research on the Dynamic Linkage of Exchange Rate between RMB and the Major Currencies along “The Belt and Road”—Empirical Analysis Based on the VAR-DCC-MVGARCH-BEKK Model

作　　者：蔡彤娟[1] 林润红 

机构地区：[1]对外经济贸易大学国际经济研究院

出　　处：《国际金融研究》2018年第2期19-29,共11页Studies of International Finance

基　　金：国家社科基金一般项目"发达国家制造业回流对中国产业转型升级的影响评估与对策设计"(15BJL081);对外经济贸易大学研究生科研创新项目(2017049)资助

摘　　要：以人民币汇率与"一带一路"主要国家货币汇率的动态联动性为研究对象,通过建立VAR-DCC-MVGARCH-BEKK模型检验了人民币与"一带一路"主要国家货币汇率的动态相关性、波动溢出效应与联动持续性。发现人民币汇率波动对所选取国家具有一定的区域辐射性:显著的均值溢出效应、正的时变相关性、一定的联动持续性,但是这些辐射能力并不强,表明人民币在"一带一路"沿线范围内的接受、认可程度仍然不够。应继续开展和扩大"一带一路"沿线国家跨境人民币业务,提高人民币在"一带一路"沿线各国的认可程度;加强与"一带一路"国家的金融合作,推动人民币结算试点、人民币离岸市场、海外债券市场建设,时机成熟时建立区域金融稳定机制;加快境外开发区的离岸人民币业务试点和推广。In this paper, the research object is the dynamic linkage of exchange rate between RMB and the major cur- rencies in countries included in ＂The Belt and Road＂ strategy. The VAR-DCC-MVGARCH-BEKK model is established in three stages to test the mean spillover effect the dynamic correlation and linkage continuity between RMB and the ＂The Belt and Road＂ major currencies. It is found that the RMB exchange rate has a certain regional radiation effect to the selected countries, as represented by the significant mean spiUover effect, a positive time-varying correlation, the certain linkage con- tinuity, though the radiation is not strong, which indicates that the impact of RMB exchange rate fluctuations on the conduc- tion and the relevance is not that strong. The main reason for this would be low acceptance of RMB in countries along ＂The Belt and Road＂ . We should further carry out cross-border RMB business in countries along the border, strengthen financial cooperation to establish a regional currency stability mechanism, and strengthen the construction of overseas development zones.

关 键 词：人民币汇率 人民币国际化 “一带一路”主要国家 汇率联动 VAR— DCC-MVGARCH-BEKK模型 

分 类 号：F823.2[经济管理—财政学]