【摘要】 文章通过运用Chi-plot图方法及构建BEKK-MVGARCH模型,从空间、时间双重维度对人民币与东亚国家货币汇率的动态联动关系特征进行分析探究。研究表明:除日元外,人民币与东亚货币汇率的动态关系以正相关为主,泰铢和马来西亚林吉特相对其他货币而言与人民币联系更为紧密;在人民币外汇政策发布时点,各国货币与人民币的相关性发生显著变化,而这一变化和人民币与美元的动态相关性存在明显的同步特征,虽然这一同步性在二次汇改后有明显减弱趋势,但仍不可忽略美元在东亚地区的核心地位,在东亚货币合作道路上中国任重而道远。更多还原

【Abstract】 This paper analyzes the dynamic linkages between currencies of China and East Asia countries through both time and space dimensions by using Chi-plot method and BEKK-MVGARCH model. The result suggests that the correlation between CNY and East Asia currency( except Yen) is mainly positive from both time and space dimensions,while THB and Ringgit have much closer relationship with Yuan than other currencies. In addition,the connection between CNY and other currencies in East Asia will change significantly once Chinese foreign exchange policy published. And this change significantly synchronizes with the dynamic correlation between CNY and USD,which indicates that USD still remains important status in East Asia though this synchronization is evidently weaker after exchange rate formation mechanism reform of CNY in 2010. China still has much work to do in East Asia monetary cooperation.更多还原