检索规则说明:AND代表“并且”;OR代表“或者”;NOT代表“不包含”;(注意必须大写,运算符两边需空一格)
检 索 范 例 :范例一: (K=图书馆学 OR K=情报学) AND A=范并思 范例二:J=计算机应用与软件 AND (U=C++ OR U=Basic) NOT M=Visual
作 者:吴周恒 张晶晶 林美丽 Wu Zhou-heng;Zhang Jing-jing;Lin Mei-li
机构地区:[1]广东外语外贸大学金融学院,广州510006 [2]广东外语外贸大学经济贸易学院,广州510006
出 处:《亚太经济》2020年第6期32-41,147,共11页Asia-Pacific Economic Review
基 金:国家自然科学基金项目“新货币政策框架下的货币政策传导与宏观稳定、金融稳定功能的研究”(71703029);广东省基础与应用基础研究基金“人民币汇率波动形成机制与中央银行汇率调控策略——基于外汇市场交易者异质性预期微观市场结构的研究”(2019A1515011008)。
摘 要:利用2011年6月27日至2018年11月23日的日度数据与VAR-BEKK-MGARCH模型,分析在岸和离岸人民币汇率与全球和亚洲7种货币之间的双向溢出效应。研究结果显示:在全球和亚洲市场中,人民币汇率在均值和波动率上呈现双向溢出效应;在岸人民币汇率在全球和亚洲区域内的均值与波动溢出效应均强于离岸人民币,表明在岸市场参与者具有汇率基本面信息优势;虽然汇改过程中人民币汇率浮动增强,但人民币汇率溢出效应并未随之增强。人民币离岸市场的发展应当与资本账户开放、离岸人民币货币与债券等发展协同推进,以促进离岸市场效率以及与在岸市场的协同程度,并提高人民币汇率弹性与均衡收敛速度。This article uses daily data from June 27, 2011 to November 23, 2018 and the VAR-BEKK-MGARCH model to analyze the two-way spillover effects between the onshore and offshore RMB exchange rates and seven currencies in the world and Asia. We found that: First, in the global and Asian markets, the RMB exchange rate exhibits two-way spillover effects on the mean value and volatility. Second, the mean value and volatility spillover effects of the onshore RMB exchange rate in the global and Asian regions are stronger than those of offshore RMB. The offshore RMB exchange rate has no spillover effect on the three widely traded global currencies, indicating that onshore market participants have an advantage in exchange rate fundamentals. Third, although the volatility of the RMB exchange rate increased during the exchange rate reform process, the spillover effect of RMB exchange rate does not increase accordingly. This paper shows that the development of the offshore RMB market should be coordinated with the development of supporting markets such as capital account opening, offshore RMB currency and bonds, in order to promote the efficiency of the offshore market and the degree of synergy with the onshore market, and furthermore, to improve the flexibility and balance the rate of convergence of the RMB exchange rate.
正在载入数据...
正在载入数据...
正在载入数据...
正在载入数据...
正在载入数据...
正在载入数据...
正在载入数据...
正在链接到云南高校图书馆文献保障联盟下载...
云南高校图书馆联盟文献共享服务平台 版权所有©
您的IP:216.73.216.171