摘要
1997年爆发的亚洲金融危机和2008年以来的全球金融危机凸现出东亚区域货币合作的必要性。利用向量自回归模型和多变量GARCH模型研究了人民币与日元、韩元、港元、台币、新加坡元、泰铢、印尼盾、吉林特等东亚地区8种货币之间的动态关系。研究结果表明,人民币汇率易受到外部冲击的影响;人民币与东亚地区其他货币之间汇率合作基础不同,现阶段港元、台币、泰铢是人民币最佳的汇率合作伙伴。
The Asian financial crisis in 1997 and the global financial crisis of 2008 revealed the need for regional monetary cooperation in East Asia. In this paper, vector auto regression model and multivariate GARCH model were used respectively to investigate the dynamic relationship between the Renminbi （RMB） and the eight other currencies in East Asia, namely, the Japanese yen, Korean won, the Hong Kong dollar, Taiwan dollar, Singapore dollar, Thai baht, rupiah, Malaysian ringgit. The results showed that the RMB exchange rate is vulnerable to external shocks. There are the different basis of the exchange rates co - operation a between Yuan and other currencies in East Asia. At this stage exchange rates of the Hong Kong dollar, Taiwan dollar and Thai baht are best partner of RMB exchange rate.
出处
《经济问题》
CSSCI
北大核心
2011年第12期86-90,共5页
On Economic Problems
关键词
人民币汇率
东亚汇率合作
多变量GARCH模型
RMB exchange rate
exchange rate cooperation in East Asia
muhivariate GARCH model
