国际金融研究
國際金融研究
국제금융연구
Studies of International Finance
2014年
11期
56~66
,共null页
人民币 汇率 东盟 VAR-DCC—MVGARCH模型 结构突变
人民幣 彙率 東盟 VAR-DCC—MVGARCH模型 結構突變
인민폐 회솔 동맹 VAR-DCC—MVGARCH모형 결구돌변
Exchange Rate of RMB ; ASEAN ; VAR-DCC-MVGARCH Model; Structure Mutation
本文以人民币汇率对东盟各国汇率传导的有效性作为研究对象．通过构建VAR—DCC—MVGAR．CH模型和结构突变模型．分析了中国与东盟各国汇率的时变相关性、传染性和结构突变等问题。结果表明：（1）人民币汇率短期波动对东盟各国形成了一定的区域性辐射能力。（2）中国等外部因素对东盟各国汇率的波动影响平均仅占6％左右，各国汇率自身的波动集聚性起主导作用。人民币汇率对大多数东盟国家汇率传导有效，但持续性特征不存在。（3）中国与东盟汇率时变相关系数均为带有结构突变无单位根的趋势平稳过程。存在短期动态联动滞后效应．外部因素不能改变其长期均衡运行路径。（4）时变相关结构突变并没有改变人民币带动大多数东盟国家货币升值趋势．呈现出“传染性升值”，传导的有效性从弱到强．区域货币联动趋势的雏形初现。
本文以人民幣彙率對東盟各國彙率傳導的有效性作為研究對象．通過構建VAR—DCC—MVGAR．CH模型和結構突變模型．分析瞭中國與東盟各國彙率的時變相關性、傳染性和結構突變等問題。結果錶明：（1）人民幣彙率短期波動對東盟各國形成瞭一定的區域性輻射能力。（2）中國等外部因素對東盟各國彙率的波動影響平均僅佔6％左右，各國彙率自身的波動集聚性起主導作用。人民幣彙率對大多數東盟國傢彙率傳導有效，但持續性特徵不存在。（3）中國與東盟彙率時變相關繫數均為帶有結構突變無單位根的趨勢平穩過程。存在短期動態聯動滯後效應．外部因素不能改變其長期均衡運行路徑。（4）時變相關結構突變併沒有改變人民幣帶動大多數東盟國傢貨幣升值趨勢．呈現齣“傳染性升值”，傳導的有效性從弱到彊．區域貨幣聯動趨勢的雛形初現。
본문이인민폐회솔대동맹각국회솔전도적유효성작위연구대상．통과구건VAR—DCC—MVGAR．CH모형화결구돌변모형．분석료중국여동맹각국회솔적시변상관성、전염성화결구돌변등문제。결과표명：（1）인민폐회솔단기파동대동맹각국형성료일정적구역성복사능력。（2）중국등외부인소대동맹각국회솔적파동영향평균부점6％좌우，각국회솔자신적파동집취성기주도작용。인민폐회솔대대다수동맹국가회솔전도유효，단지속성특정불존재。（3）중국여동맹회솔시변상관계수균위대유결구돌변무단위근적추세평은과정。존재단기동태련동체후효응．외부인소불능개변기장기균형운행로경。（4）시변상관결구돌변병몰유개변인민폐대동대다수동맹국가화폐승치추세．정현출“전염성승치”，전도적유효성종약도강．구역화폐련동추세적추형초현。
This paper studies the conducting effect of exchange rate of RMB to ASEAN countries, using VAR-DCC- MVGARCH model and structure mutation model to analyze several questions such as the time-varying correlation, the infec- tivity and the structure mutation between and among them. The results are as followed： 1. The short-term fluctuation of RMB exchange rate has exerted some regional radiation influence on the ASEAN countries. 2. External factors besides China, con- tribute only 6% of the exchange rate fluctuation of ASEAN countries in average, with the exchange rate volatility clustering it- self playing a leading role. The conduction of RMB rate to most ASEAN countries＇ currency rates is effective, but the effect is not persistent. 3. The time-varying correlation coefficient of exchange rate of China and ASEAN countries is subject to the trend stationary process of structure mutation with no unit root, therefore there exists a short-term dynamic linkage lag effect, while external factors can＇t change its long-term equilibrium path. 4 Time-varying structure mutation does not change the trend that RMB drives the appreciation of most ASEAN currencies, but demonstrates the ＂contagious appreciation＂ phe- nomenon, with the effectiveness of conduction ranging from weak to strong, which means the regional currency linkage is tak- ing shape.
