人民币与东盟国家货币汇率动态关联性分析

The Analysis on the Dynamic Correlation of the Foreign Exchange Rate of RMB and Currencies of ASEAN Countries

本文运用VAR-MGARCH-BEKK模型,从报酬溢出和波动溢出的角度,对人民币与东盟国家货币汇率间动态关联性进行实证研究,发现相比二次汇改前,人民币与菲律宾比索、泰铢之间存在双向波动溢出效应而对东盟其他国家货币汇率不存在波动溢出效应,二次汇改后人民币与大部分东盟国家货币汇率之间联动有明显增强。最后,本文尝试对人民币深化与东盟国家货币汇率合作,提出相应的政策建议以推动人民币在东盟国家的区域化进程。

Using VAR-MGARCH-BEKK model, from the perspective of rewards spillover and volatility spillover, the paper makes the empirical research on the dynamic correlation of the foreign exchange rate of RMB and currencies of ASEAN countries. The paper finds that compared with the secondary foreign exchange reform, there exists the bidirectional volatility spillover effect be-tween RMB and Philippine peso and Thai baht, while there doesn’t exist the volatility spillover effect with currencies of other ASEAN countries. That is to say, the correlation of the foreign exchange rate of RMB and currencies of ASEAN countries is obviously strengthened after the secondary foreign exchange reform. At last, the paper puts forward corresponding policy recommendations on attempting to deepen the foreign exchange rate cooperation of RMB with currencies of ASEAN countries to promote the process of re-gionalization of RMB in ASEAN countries.