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新兴市场国家外汇期货推出对现货市场风险的影响——基于韩国和巴西数据的实证分析
The Risk Effect of Introducting Froeign Exchange Futures to Spot Market:Empirical Evidence from Korea and Brazil Market
【摘要】 通过分析韩国和巴西的市场数据得出:新兴市场国家外汇期货推出后,其现货市场传递信息的效率得到了提高,波动性干扰所造成的影响持续性降低,风险控制能力得到了提高。
【Abstract】 This paper tests the volatility effected by the foreign exchange futures in Korea and Brazil market.The empirical studies reveal that the efficiency of information transferring is enhanced,the shock effect by volatility disturbing weakened,and what’s more the ability of risk control is enhanced after introducing the foreign exchange futures in the emerging market countries.
【关键词】 外汇期货;
信息传递效率;
波动持续性;
GARCH;
VaR;
【Key words】 Foreign Exchange Futures; Information Transferring Efficiency; Volatility Durative; GARCH; VaR;
【Key words】 Foreign Exchange Futures; Information Transferring Efficiency; Volatility Durative; GARCH; VaR;
【基金】 天津财经大学科研发展基金项目(Q0807);国家自然科学基金项目(70373061);天津市科技计划项目(07ZLZLZT03000)支持
- 【文献出处】 亚太经济 ,Asia-pacific Economic Review , 编辑部邮箱 ,2009年02期
- 【分类号】F224;F831.52
- 【被引频次】7
- 【下载频次】510