摘要
基于人民币区域化视角,构建动态Copula-GJRGARCH模型研究人民币与东亚各主要国家及地区货币汇率间的联动性及尾部相依性,从而说明东亚汇率市场联动性随人民币区域化的发展而变化。结果表明:(1)人民币与东亚货币汇率皆为正相关,东亚汇率市场间存在正向联动效应。(2)人民币与东亚货币汇率间存在尾部相依,这表明在极端事件下人民币与东亚货币汇率间存在同时大涨或大跌的可能性,但这种可能性在人民币与东亚各地区货币汇率之间存在差异。(3)人民币与马来西亚林吉特、菲律宾比索、泰铢、港币及韩元间的汇率联动性自一次汇改后不断升高,直到"811"汇改后其汇率联动性稍稍降低;新加坡元、印尼盾与人民币联动趋势相对稳定且联动性持续上升;日元与人民币间的联动性除在金融危机期间外普遍较高。(4)随着人民币区域化进程的提高,东亚货币间联动性逐渐增强。现阶段需继续深化汇率市场化改革,加快推动东亚地区货币合作,完善我国金融制度,进一步放松资本账户管制,在境外大力发展以人民币计价、结算的金融产品。
Based on the perspective of RMB regionalization,this paper constructs a dynamic Copula-GJRGARCH model to study thelinkage and tail dependence of RMB exchange rate with other major countries and regions in East Asia.The results show that:(1)Both the exchange rate of RMB and currencies in East Asia are positively correlated.(2)There is a tail-dependent relationship between RMB and East Asian currency exchange rates.(3)Exchange rate linkage between the RMB and the Malaysian ringgit,the Philippine peso,the Thai baht,the Hong Kong dollar and the South Korean won continued to rise after a remittance change,and their exchange rate linkage decreased slightly after the"811"exchange rate reform.The linkage trend between Singapore dollar,Indonesian rupiah and the RMB is relatively stable,and the linkage between RMB and Yen is generally except in financial crisis.At this stage,we must continue to deepen the market-oriented exchange rate reform,speed up the promotion of monetary cooperation in East Asia,improve our financial system,further relax capital account controls and vigorously develop overseas-denominated and settled financial products.
出处
《世界经济研究》
CSSCI
北大核心
2018年第7期38-55,共18页
World Economy Studies
