中国官方汇率与黑市汇率的杆杠效应和双长记忆性研究

Research on the Leverage Effect and Dual Long-memory of Official and Black Exchange Rate in China

本文利用ARFIMA-FIAPARCH模型检验人民币兑换美元的官方汇率与黑市汇率的杠杆效应和双长记忆性。尽管发现官方汇率和黑市汇率取对数后形成的序列表现并非尖峰但却有偏。倘若在Gauss分布下对官方汇率模型进行极大似然估计,参数检验的显著性不会太高,而基于t分布的黑市汇率参数检验却都很显著。经证实,官方汇率波动不会产生杆杠效应,黑市汇率贬值时会产生杆杠效应。官方汇率波动序列长记忆性不能完全确定,黑市汇率对数序列和波动序列均存在长记忆性。

This paper has attempted to investigate the leverage effect and dual long-memory of the series of Chinese official and black exchange rates for the U. S. dollar. Although there are not leptokurtic in the both series, their skews all exist. If ARFIMA-FIAPARCH is estimated through a gauss distribution based on maximum likelihood estimation for official exchange rate, the significance of the parameter test is weak, the significance of the parameter test throught distribution based on maximum likelihood estimation for black exchange rate may greatly strengthen. The fluctuation of the official exchange rate can not produce leverage effect, but the black exchange rate in depreciation can produce leverage effect. The characteristic of long-memory of the mean process and volatility process of the black exchange rate of China are all captured, but the characteristic of long-memory of the volatility process of the official exchange rate can not completely identify.