摘要
本文基于向量自回归多元GARCH模型对人民币汇率与利率之间的动态变化关系进行了深入细致的实证分析,研究得出:人民币汇率和利率之间不存在价格溢出效应;就波动率而言,货币市场具有显著的时变方差特征和波动持久性,人民币对美元、欧元、日元的汇率波动表现不同;在货币市场和外汇市场之间,人民币对美元汇率与利率之间不存在波动溢出效应,而人民币对欧元、日元等非美元汇率与利率之间存在双向的波动溢出效应。
The paper, based on VAR - MGARCH model, empirically analyzes the dynamic relationships between RMB exchange rate and interest rate. The study shows that there are no price spillovers effects between RMB exchange rate and interest rate. In terms of volatility, there are significant time - varying variance characteristic and volatility persistence in money markets, and the volatility behaviors of RMB exchange rate against dollar, Euro and yen are different. In money markets and exchange markets, there are no volatility spillovers effects between RMB exchange rate against dollar and interest rate, nevertheless, there is bi - directional volatility spillovers effects between RMB exchange rate against Euro and yen and interest rate.
出处
《金融研究》
CSSCI
北大核心
2007年第03A期41-49,共9页
Journal of Financial Research
基金
中国博士后科学基金(20060390712)资助
关键词
汇率
利率
溢出效应
多元GARCH
exchange rate
interest rate
spillover effect
multivariate GARCH
