期刊文献+

中美贸易摩擦背景下人民币汇率波动特征研究

下载PDF
导出
摘要 汇率是衡量宏观经济状况的重要指标之一,对其波动特征以及短期预测的研究受到广泛关注。本文以中美贸易冲突为背景,选取2018年3月23日至2021年6月30日人民币对美元汇率为对象,采用GARCH模型和EGARCH模型进行拟合。结果表明,人民币汇率存在着尖峰后尾特征、波动集聚性以及杠杆效应,并以此提出合理政策建议。
作者 刘霆
机构地区 南京财经大学
出处 《现代营销(下)》 2022年第5期1-3,共3页 Marketing Management Review
  • 相关文献

参考文献7

二级参考文献48

  • 1Poon, S., Granger, C., 2004. Forecasting volatility in financial markets: a review. Journal of Economic Literature 41, 478-539.
  • 2Verbeek, M., 2000. A Guide to Modern Econometrics.
  • 3West, K. D., D, Cho., 1995. The predictive ability of several models of exchange rate volatility.Journal of Econometrics,69,2,367-391.
  • 4Aydemir,A.B.,1998.Volatility modelling in finance. Forecasting Volatility in the Financial Markets.
  • 5Baillie,R.T.,Bollerslcw, T.,1989. the message in daily exchange rates:a conditional variance tale.Journal of Business and Economic Statistics,Vol.7,297-305.
  • 6Bollerslev,T.,1986. Generalized autoregressive conditional heteroskedasticity.Journal of Econometrics,31,307-328.
  • 7Bollerslev, T., Chou, R. Y., Kroner, K. K., 1992. ARCH modelling in finance, a review of the theory and empirical evidence.Journal of econometrics.Vol.52.5-59.
  • 8Christodoulakis, G. A., Satchell., S. E., 1998. Hashing GARCH: a reassessment of volatility forecasting performance. Forecasting volatility in the financial markets.168-192.
  • 9Engle, R.F., 1982. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrics, 50. 4.987-1007.
  • 10Engle, R.F., Bollerslev, T., 1986. Modelling the persistence of conditional variances. Econometric Review, 5 (1),1-50.

共引文献63

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部