摘要
本文建立DCC-GARCH模型并引入哑变量,实证检验了在岸即期与离岸无本金交割远期人民币汇率间的动态相关系数,研究离在岸汇率与在岸汇率间的相依性。在三个市场中,新加坡市场离岸汇率与在岸汇率的动态相关性最高,伦敦市场最低。2020年,新加坡离岸与在岸人民币的动态相关性下降,而伦敦相关性上升。
This paper establishes the DCC-GARCH model and introduces dummy variables to empirically test the dynamic correlation coeffi cients between the onshore spot and offshore non-deliverable forward RMB exchange rates,and study the dependence between the offshore exchange rate and the onshore exchange rate.Among the three markets,the Singapore market has the highest dynamic correlation between the offshore exchange rate and the onshore exchange rate,and the London market has the lowest.In 2020,the dynamic correlation between Singapore’s offshore and onshore renminbi will decrease,while the correlation in London will increase.
作者
陆诚悦
LU Chengyue(Shanghai University of International Business and Economics)
出处
《中国商论》
2021年第22期72-75,共4页
China Journal of Commerce
基金
“上海市大学生创新创业训练计划项目202110273055”建设经费资助
