中国与哈萨克斯坦金融市场联动效应研究——基于四元VAR-MGARCH-BEKK模型的分析  

Research on the Linkage Effect of Financial Markets between China and Kazakhstan:Analysis based on Quaternary VAR-MGARCH-BEKK Model

作　　者：张银山[1] 秦放鸣[2] 张雯[1] Zhang Yinshan;Qin Fangming;Zhang Wen(Urumqi Central Sub - branch, the People's Bank of China;Xinjing University)

机构地区：[1]中国人民银行乌鲁木齐中心支行 [2]新疆大学经管学院

出　　处：《金融发展评论》2019年第2期23-41,共19页Financial Development Review

摘　　要：随着国内汇率改革持续深入,人民币国际化步伐不断加快,我国金融市场的国际化程度显著提高,增强了我国与国际金融市场间的关联度。本文选取世界主要货币美元以及区域货币卢布,通过构建美元、卢布、人民币、坚戈的四变量VAR-MGARCH-BEKK模型,在一个相对完整的分析框架内,以人民币汇率主要改革时间为节点,分三阶段对中哈两国汇率市场的波动外溢效应进行考察。研究发现,美国、俄罗斯、中国和哈国四国跨汇率市场之间的收益溢出效应、波动传导效应、冲击传导效应和金融杠杆效应不同程度存在。其中,人民币与坚戈有初步的双向联动效应,但呈明显的不对称性;坚戈与卢布仍有着较强的联动性;美元是唯一在三个阶段,都显著对卢布、人民币和坚戈存在溢出效应。据此,本文认为在推进中哈货币金融合作时,必须统筹考虑世界货币美元市场和区域货币卢布市场的外溢效应,防止金融市场大幅波动,有效降低跨市场的风险累积和传染程度。With the reform of exchange rate deepened and the pace of renminbi internationalization accelerated continuously, China has witnessed significant progress in financial market internationalization, reinforcing the correlation between China and the international financial market. This paper selects the US dollar as the world's dominant currency and Russian ruble as the regional currency. By constructing the four - variable VAR - MGARCH - BEKK model of the US dollar, ruble, renminbi, and tenge, this paper examines the fluctuation spillover effects of the exchange rate markets between China and Kazakhstan within a relatively complete analytical framework in three phases divided by the timing of renminbi exchange rate reforms. The study proves the existence of income spillover effect, wave conduction effect, shock conduction effect and financial leverage effect among the exchange rate markets of the US, Russia, China and Kazakhstan. To be specific, renminbi and tenge manifest a preliminary two 一 way but obviously asymmetric linkage effect;tenge and ruble still have strong linkage;while dollar is the only currency which exerts significant spillover effect on ruble, renminbi and tenge in all three phases. Based on this, this paper believes that when promoting the monetary and financial cooperation between China and Kazakhstan, it is necessary to take into account the spillover effects of both dollar ruble markets, prevent financial market volatility, so as to effectively reduce risk accumulation and contagion across markets.

关 键 词：金融市场 波动溢出 VAR-MGARCH-BEKK模型 

分 类 号：F832[经济管理—金融学] F833.61