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本文旨在考察,汇改后美元/人民币汇率前期收益的影响下,人民币汇率市场上非美元/人民币汇率收益均值和波动不对称的程度。为了捕捉非美元汇率收益的均值和波动不对称的特点,我们设定双门限非线性的GARCH模型,结合GJR效应(即加入非美元收益利空或利好消息的影响),利用基于MCMC算法的贝叶斯推断来完成。应用中我们选取了美元(欧元、日元、港元)/人民币日汇率数据进行分析,发现了门限非线性的结果,表明在美元和非美元汇率本身双重变化的影响下,非美元汇率收益的均值和波动同时表现出非对称的特点。并且在美元收益利好消息的影响下,美元汇率对非美元汇率的溢出效应明显增强,非美元表现出低均值回归的特点。
The purpose of this paper is to examine the extent to which the non-USD / RMB exchange rate returns and asymmetries of volatility in the RMB exchange rate market are influenced by the previous gains of the USD / RMB exchange rate after the exchange rate reform. In order to capture the mean and volatility asymmetry of non-USD exchange rate returns, we set up a two-threshold nonlinear GARCH model. Combining the GJR effect (that is, the impact of adding non-US dollar yields to negative or positive news), we use Bayesian Inferred to complete. In the application, we choose the dollar (euro, Japanese yen, Hong Kong dollar) / RMB daily exchange rate data analysis and found that the threshold nonlinear results show that the dollar and non-dollar exchange rate itself under the influence of double changes in the exchange rate of non-US dollar means And fluctuations at the same time show the characteristics of asymmetry. And under the influence of the good news of the U.S. dollar, the spillover effect of the U.S. dollar on the exchange rate of non-U.S. dollars has been significantly enhanced. Non-US dollar shows a low-average regression.