国际油价与人民币汇率的非对称溢出效应研究--基于VEC-BEKK-GARCH模型

Research on the asymmetric spillover effect of international oil price and RMB exchange rate--Based on the VEC-BEKK-GARCH model

石油作为重要的战略能源,其价格波动对全球经济的运行和发展会产生极大的影响。为测算国际油价与人民币汇率的均衡关系及非对称溢出效应,选取2008年1月~2019年7月的每日数据,在平稳性检验的基础上,综合运用协整检验和脉冲响应函数等方式,对二者的均值溢出效应进行测量;在VECBEKK-GARCH模型的支撑下,对其非对称波动溢出效应水平进行测算。研究结果表明:国际油价与人民币汇率的协整关系和均值溢出效应处于长期均衡状态;二者的非对称波动溢出效应是双向的,国际油价会随人民币汇率的变化呈现出时变性和持续性特征,而国际油价变动具备持续性特征时,人民币汇率随之产生变化。这种非对称波动溢出效应表明,无论国际油价如何变化,对人民币汇率的冲击都是非对称的。

Oil is an important strategic energy source. Its price fluctuations will have a great impact on the operation and development of the global economy. China is the world’s largest energy consumer and producer. The balanced development of international oil price and the RMB exchange rate is of great significance. In order to measure the equilibrium relationship and the asymmetric spillover effect of international oil price and RMB exchange rate, this paper selects the daily data from January 2008 to July 2019 and uses the co-integration test and impulse response function on the basis of the stationarity test to measure the mean spillover effect of the two and the level of asymmetric volatility spillover effect under the support of the VEC-BEKK-GARCH model. The results show that the co-integration relationship and the mean spillover effect of international oil price and RMB exchange rate are in a long-term equilibrium state;the asymmetric volatility spillover effect of the two is twoway, and the international oil price will show the characteristics of time-varying and persistence with the change of RMB exchange rate. When the international oil price changes have the characteristics of persistence, the RMB exchange rate will change accordingly. This asymmetric volatility spillover effect indicates that the impact on the RMB exchange rate is asymmetric regardless of changes in international oil price.