【摘要】：文章選用二變量VECM-GJR-MVGARCH(1,1)-BEKK擴展模型,分析了在美聯(lián)儲貨幣政策沖擊影響下的在岸人民幣即期和遠期匯率,在岸遠期和離岸遠期匯率間長期均衡關系調整、均值溢出、波動溢出以及非對稱效應。實證結果表明,(1)在岸即期匯率對遠期匯率有引導作用,主要由在岸遠期匯率進行調整以實現(xiàn)即期、遠期匯率間的長期均衡關系,意料之外的美聯(lián)儲加息會導致即期、遠期匯率的貶值,并減小即期匯率的波動率;(2)在岸遠期匯率引導離岸遠期匯率,離岸遠期市場處于信息波動的中心位置,意料之外的美聯(lián)儲加息會導致在岸、離岸遠期匯率的貶值;(3)各外匯市場具有較強的波動集聚性,在岸即期匯率對遠期匯率有較強的波動溢出效應和非對稱效應,離岸遠期匯率對相應期限的在岸遠期匯率有顯著的波動溢出和非對稱效應,美國貨幣政策沖擊對在岸、離岸遠期外匯市場的波動率和波動溢出效應有顯著影響。因此,投資者和政策制定者在決策時不僅要考慮不同人民幣外匯市場間的長期均衡關系調整、均值溢出、波動溢出以及非對稱效應,也應重點關注美國貨幣政策對人民幣匯率水平和波動可能帶來的影響。
[Abstract]:Based on the two-variable VECM-GJR-MVGARCH (1 / 1)-BEKK model, this paper analyzes the onshore RMB spot and forward exchange rates under the impact of the Federal Reserve's monetary policy, and the adjustment of the long-term equilibrium relationship between onshore forward and offshore forward exchange rates. Mean spillover, volatility spillover and asymmetric effect. The empirical results show that: (1) the onshore spot exchange rate can lead to the forward exchange rate, which is mainly adjusted by onshore forward exchange rate to realize spot. The long-term equilibrium relationship between the forward exchange rate and the unexpected Fed rate increase will lead to spot interest rate increase. Depreciation of the forward exchange rate and reduction of the volatility of the spot exchange rate; (2) the onshore forward rate leads to the offshore forward exchange rate, the offshore forward market is in the center of the information fluctuation, the unexpected Fed rate increase will lead to the depreciation of onshore and offshore forward exchange rate; (3) each foreign exchange market has strong volatility agglomeration, and onshore spot exchange rate has strong volatility spillover effect and asymmetric effect on forward exchange rate. The offshore forward exchange rate has significant volatility spillover and asymmetric effect on the onshore forward exchange rate of the corresponding period, and the impact of American monetary policy has a significant impact on the volatility and volatility spillover effect of offshore forward foreign exchange market. Therefore, investors and policy makers should not only consider the adjustment of long-term equilibrium relationship, mean spillover, volatility spillover and asymmetric effect between different RMB foreign exchange markets, We should also focus on the possible impact of U.S. monetary policy on the level and volatility of the RMB exchange rate.
【作者單位】： 同濟大學經濟與管理學院;濟南大學商學院;
【基金】：國家自然科學基金項目“貨幣政策調整與國內資產價格波動:基于多維GARCH方法的實證分析”(項目編號:71173088)的資助
【分類號】：F832.6

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