汇率波动与风险溢出:一个研究述评

Exchange Rate Volatility and Risk Spillover Effects:A Review of Theory and Empirical Work

本文系统地阐述了刻画汇率波动风险特征的理论方法,回顾了货币风险溢出效应的理论基础,进而从单一货币跨期限风险溢出效应和跨国跨货币风险溢出效应两大分支总结了前人研究成果,发现现有文献在跨货币风险溢出效应研究中方法不足,提出了关于人民币与东南亚、南亚新兴市场货币间风险溢出效应的未来研究方向。

Recent advances on methods of measuring exchange rate risk and the theoretic basis of currency risk spillover are summarized in this paper.Furthermore,the relevant research on single currency and cross-currency spillover has been primarily reviewed,which leads to the proposals about the existing limits for the future exploration on risk spillover effects between RMB and merging market currencies in South and Southeast Asian countries.