欧元导入后外汇市场的特征变化

The Characteristic Changes of Foreign Exchange Markets after the Introduction of EURO

我们使用改进的EGARCH模型考察了外汇市场在欧元导入前后的特征变化。我们发现几个主要货币对美元汇率的波动幅度较之前增加了,各汇率之间的相关程度也加深了。这些现象的发现具有实际的操作意义。

We use an improved GARCH model to investigate the characteristic changes of foreign exchange markets due to the introduction of EURO. We find that the volatilities of exchange rates of some major currencies against the US dollar tend to increase and the correlations of exchange rates between these currencies appear to intensify. These findings afford several practical implications.