人民币NDF市场与新台币NDF市场相关性及风险溢出研究

The correlation and risk spillover between RMB NDF market and TWD NDF market

通过构建二元正态Copula模型和SJC-Copula模型来研究不同时期人民币NDF市场和新台币NDF市场之间的相关性特征和尾部相关性的变化,接着运用CoVaR方法着重分析新台币NDF市场对人民币NDF市场的风险溢出强度.实证结果表明:两个市场在金融危机前期和金融危机时期存在明显正的相关性,只是在金融危机后期特别是2011年之后,随着人民币不断升值的预期,两市场间表现出负相关性;下尾相关程度在金融危机时也明显增强,新台币NDF市场对人民币NDF市场在三个时间段都存在着明显的溢出效应.并且在金融危机时期溢出效应最强.

This article constructs bivariate normal copula model and SJC-Copula model to research correlations and the change of the tail correlation in different periods between the RMB NDF market and TWD NDF market, and then the key analysis is risk spillover of TWD NDF market to the RMB NDF market by the method of CoVaR. The empirical results show that two markets are obviously positive correlation in the early stage of the financial crisis and during the financial crisis, but the empirical results also show that along with the expected appreciation of the RMB, there is a negative correlation between the two markets after financial crisis especially since 2011. The correlation degree of lower tail dependence is significantly enhanced, and exists obvious spillover effect in the three time periods especially the strongest spillover effect during the financial crisis.