外汇市场的协同波动与联合干预

Common Volatility and Joint Intervention of Foreign Exchange Markets

本文以ARMA-GARCH,GARCH-M及EGARCH模型检验中国、日本及韩国1997年1月至2010年9月的实际汇率波动,及是否存在风险溢价和杠杆效应,结果发现:中国汇率波动最为平稳,而韩国汇率波动最大,并且存在显著的风险溢价和杠杆效应。我们另外考量了中央银行干预对汇率波动的影响,发现日本中央银行干预最为有效,而韩国中央银行干预最为无效。此外,我们以BEKK-MGARCH模型检验中日韩三国的汇率协同波动现象,发现中日韩三国之间的汇率皆具有正向协同波动关系,而以日韩的协同波动持续性最为显著。若考量央行联合干预,则中日汇率的协同波动性将提高,日韩汇率的协同波动性将明显降低。此外,中日及日韩的联合干预对汇率协同波动有显著的政策效应。

Based on ARMA-GARCH,GARCH-M and EGARCH model,this paper estimates the volatility,risk premium and leverage effects of REER of China,Japan and Korea from 1997M01 to 2010M09.We find that the volatility of Chinese Yuan is the most stable while Korean won fluctuates most dramatically with significant risk premium and leverage effects.We also examine the effect of the Central Bank＇s intervention policy on exchange rates volatility,and find that the intervention policy of Japan is the most effective while that of Korea is the worst.In addition,we use BEKK-MGARCH model to examine the common volatility effects among China,Japan and Korea,and find a positive common volatility effect among them,with significant persistent common volatility effect between Japan and Korea.As far as the joint intervention is concerned,the common volatility between China and Japan will increase while that between Japan and Korea will decrease obviously.Besides,the policy effects of China-Japan and Japan-Korea joint intervention on common volatility are significant.