二元GED-GARCH模型的利率与汇率波动溢出效应研究

Spillover Effects between Exchange Rate and Interest Rate Based on the Binary GED-GARCH

分别运用二元N-GARCH模型和二元GED-GARCH模型,对金融危机前后利率和汇率的波动溢出效应进行研究,通过自适应绝对偏差和自适应均方误差的平方根2种标准进行评价。研究认为,二元GED-GARCH预测效果更好,在金融危机前利率与汇率之间存在着由汇率到利率的溢出效应;在金融危机之后,利率与汇率具有双向的波动溢出效应。

We use binary N-GARCH and GED-GARCH models to analyze the Spillover Effects between Exchange Rate and Interest Rate before and after financial crisis respectively, and then valuate the two models by adaptive mean absolute deviation and adaptive root of mean square error criterion. As a result, we found out that the forecasting effect of binary GED-GARCH is better, and there is no Spillover Effects between Exchange Rate and Interest Rate before financial crisis, but there are two-way Spillover Effects between them after financial crisis.