汇率收益率及其收益波动率存在长记忆性吗?——基于人民币汇率和欧元汇率的经验分析

Does Exchange Rate Return and Return Volatility Exist Long Memory? An Empirical Study on CNY and EUR Exchange Rate

长记忆性研究一直是金融实证研究的一个热点,但过去多数研究主要集中于资本市场。汇率收益率的长记忆性将影响外汇市场的有效性,汇率收益波动率的长记忆性则可能对汇率风险及汇率未来变化产生作用。基于此,本文选择人民币兑美元汇率、欧元兑美元汇率作为研究对象,运用经典重标极差分析法、重标方差分析法及小波方差分析法分别考察它们的收益率和收益波动率序列的长记忆性。研究结果表明:人民币汇率收益率存在长记忆性,而欧元汇率收益率不存在长记忆性;两种汇率收益波动率都存在显著的长记忆性特征,但人民币汇率收益波动率的非周期循环天数长于欧元汇率收益波动率。结论说明了欧元汇率发展的成熟以及人民币汇率形成机制的相对低效,并为追踪汇市行为特征及制定外汇政策提供了新的视角。

The study of long memory has been a hot research topic in the field of financial study, but in the past most researches mainly concentrated in capital market. Long memory in exchange rate return will affect foreign exchange market＇ s validity,while return volatility with long memory will influence the risk of exchange rate and its future changes. Based on this, this paper selects exchange rates of CNY/USD and EUR/USD as research objects, using classical R/S analysis, V/S analysis and wavelet variance analysis for investigating long memory in their return and return volatilities. The results show that, return of CNY exchange rate has long memory, while EUR doesn＇t; both of these two return volatilities exist significantly long memory characteristics, but the non-periodic cycle of CNY is longer than that of EUR. These conclusions reflect that the formation mechanism of EUR is more effective than that of CNY, and provide a new angle of view for describing currencies behavior characteristics and making foreign exchange policies.