区域货币联动与政策干预:中日韩实证分析  

Regional Currency Fluctuations and Policy Interventions:An Empirical Analysis of China,Japan and South Korea

作　　者：谷家奎 陈守东[2] 

机构地区：[1]中国中投证券博士后科研工作站,广东深圳518048 [2]吉林大学数量经济研究中心,吉林长春130012

出　　处：《数量经济研究》2016年第1期87-104,共18页The Journal of Quantitative Economics

基　　金：国家社科基金项目“系统性金融风险与宏观审慎监管研究”(12BJY158);教育部人文社会科学重点研究基地重大项目“中国系统性金融风险防范与金融稳定性计量研究”(14JJD790043)

摘　　要：开放经济条件下,金融风险的传染性使得各国市场不再是孤立封闭的,金融市场的依赖性加剧。基于亚洲区域经济体金融合作的现实及其重要性,本文研究了中日韩货币的波动性与区域联动机制,并检验了货币政策对外汇市场的干预效应。实证结果表明,中日韩三国货币的波动性存在一定差异,其中日元和韩元的波动受金融危机冲击较大。单独的货币政策干预来看,只有中国对外汇市场的干预是有效的,日韩干预效应不显著。本文构建的多元波动模型结果显示,两国汇率之间的相关性在金融危机期间倾向于增加,存在显著的汇率风险传染效应。引入货币政策联合干预以后,结果显示中日和中韩对外汇市场协同波动的联合干预作用有效,而日韩对外汇市场协同波动的干预效果不显著。The infectious of financial risk make the national markets no longer isolated within open economy,financial markets are more dependent.Based on the reality and importance of Asian regional economics financial cooperation,we study the volatility and linkage mechanism within China,Japan and South Korea,and test the intervention effects of monetary policy on foreign exchange market.The empirical result shows that,there are some differences in currency volatility,the yen and won fluctuations suffer greater impact by financial crisis.Only China intervention in the foreign exchange market is effective,and the intervention effect of Japan and South Korea are not significant.We can also see that the correlation between country exchange rates tend to increase during the financial crisis,and the currency risk contagion effect is significant.Considered the joint intervention of monetary policy,the result shows that the intervention on foreign exchange markets between China and Japan,China and South Korea,are effective,while Japan and South Korea not.

关 键 词：汇率波动 货币联动 政策干预 Cholesky-GARCH 

分 类 号：F224[经济管理—国民经济] F821F831.6