人民币与金砖国家货币汇率波动传导关系

Research on Exchange Rate Volatility Transmission Relationship between RMB and the Currency of the BRICS

利用"金砖五国"实际有效汇率指数,构建BEKK-MGARCH模型,对汇率改革后人民币与其他金砖国家货币汇率的波动传导关系进行深入研究,发现:"金砖五国"货币汇率间联动显著,存在较强的波动传导效应;人民币汇率面临着多个金砖国家货币汇率波动的冲击,并且其波动受到市场新近信息冲击和历史波动的影响;随着"金砖五国"展开更加深入的合作,中国应重视防范来自其他金砖国家的汇率风险传染。

Using REER index of the BRICs countries, this research aims at constructing a BEKK-MGARCH model on exchange rate volatility transmission relationship between RMB and the currency of other BRICs countries after the RMB ＇s exchange rate reform. The analysis shows the exchange rate volatility transmission effect between the BRICS is strong; RMB receives impact from the volatility of the currency exchange rate of other BRICS countries and its exchange rate has significant ARCH and GARCH effect. As the BRICS have an in-depth collaboration, China should focus on the risk from the exchange rate volatility of other BRICS countries.