开放进程中人民币汇率间相依性研究——基于动态Copula-GJR-t模型的分析

Modeling the Dependence between RMB Exchange Rates in the Process of RMB's Marketing:Based on the Dynamic Copula-GJR- tModel

构建动态Copula-GJR-t模型对汇改后人民币兑美元、欧元和日元汇率间的相依结构进行考察。研究表明:人民币兑美元与兑欧元、兑日元汇率间存在负相依性,人民币兑欧元与兑日元汇率整体上呈现正相依性;在极端事件下,各汇率间相依性较正常时期发生很大变化,但不像股票市场那样呈现增强的正相依性;人民币兑美元与兑欧元、兑日元汇率的上、下尾相依性基本为零,说明它们不存在同时大涨或大跌的可能性,而人民币兑欧元与兑日元汇率有波动较大的上、下尾相依性,说明两者存在汇率风险传染关系。

This paper develops dynamic Copula-GJR -t model to examine dependence for RMB exchange rates after exchange rate system reform in 2005. The results show that： There exists negative dependence between the exchange rates of USD/RMB and EUR/RMB, USD/RMB and JPY/RMB, while there exists positive dependence between the exchange rates of EUR/RMB and JPY/RMB in the whole; the exchange rates dependence underwent a great change while it is different from the positive dependence in stock markets which en- hanced in some extreme events. Additionally, the upper and lower dependence between the exchange rates of USD/RMB and EUR/RMB, USD/RMB and JPY/RMB is closed to zero, which implies there not existing the probability of soaring or plummeting in the same time, while the tail dependence between the exchange rates of EUR/RMB and JPY/RMB appears a strong volatility, which suggests there exists risk contagion relationship between them.