基于Pair Copula-GARCH-t的人民币汇率波动实证分析

A Positive Analysis of RMB Exchange Rates Based on the Pair Copula-GARCH-t Model

通过构建Pair copula-garch-t模型,研究人民币对美元、欧元、港元、日元和英镑五种货币汇率收益率序列波动的条件与无条件相关变动关系。实证结果表明,在C藤结构中,人民币对美元汇率序列与人民币对港元汇率序列存在显著无条件正相关,且各收益率序列下尾相关显著高于上尾相关;在D藤结构中,不存在显著无条件相关,两者汇率序列既定的条件下,其他两种汇率存在显著正相关。

By building up the model called pair copula-GARCH-t,this paper studies the correlation of the RMB against the US dollar,the EURO,the Hang Kong dollar,the Yen and the Pound.It allows the conditional correlation among exchange rates to be both time-varying and modeled independently from the marginal distributions.Empirical evidence indicates that there is a significantly unconditional positive correlation between the exchange rates of USD/RMB and HKD/RMB in the canonical copula vine.In the D-copula vine,there is no significantly unconditional correlation.