基于向量乘积误差模型的中日韩汇率波动溢出效应研究被引量：1

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摘要本文运用向量乘积误差模型(VMEM)研究了中国、日本与韩国实际有效汇率的波动溢出效应。实证分析结果表明,中国和日本的实际有效汇率波动既受自身过去波动、收益率的影响,也存在显著的杠杆效应;韩国实际有效汇率波动受前期波动与收益率的影响,但是不具有显著的杠杆效应。中国与日本、日本与韩国的汇率市场之间存在着双向的波动溢出效应。这与现实情况是相符的。

作者高艳张丽艳

机构地区河北经贸大学商学院中国矿业大学(北京)管理学院

出处《武汉金融》北大核心 2015年第9期16-19,35,共5页 Wuhan Finance

关键词向量乘积误差模型汇率波动溢出

分类号 F832.6 [经济管理—金融学]

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参考文献6

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