摘要
为了考察人民币汇率高阶矩风险的动态特征,本文首先采用拉格朗日乘子检验对人民币/美元名义汇率收益率序列是否存在异方差、异偏度和异峰度效应进行判断,然后运用自回归条件方差偏度峰度模型对汇率波动的高阶矩风险进行测量。研究表明,人民币汇率波动的方差风险和偏度风险具有时变特征,而峰度风险不具有时变性,鉴于人民币汇率风险的时变性,应该从动态角度进行汇率风险的防范与规避。
In order to investigate the dynamic characteristics of higher moments risk of RMB exchange rate, this paper firstly used Lagrange multiplier test to judge whether there were heteroscedasticity, different skewness and differ- ent kurtosis in the series of RMB exchange rate. Then we estimated the higher moments risk of RMB exchange rate by the GARCHSK Model. The results showed variance risk and skewness risk were time-varying, but kurtosis risk wasn＇t time-varying. Given the time-varying of its risk, we should prevent and avoid exchange rate risk from the dynamic point of view.
出处
《区域金融研究》
2015年第4期17-21,共5页
Journal of Regional Financial Research
基金
教育部人文社会科学研究项目(09YJC790209)
湖北省教育厅人文社会科学研究项目(2012Q182)的资助
