【作者】 李江；

【导师】 贤成毅；

【作者基本信息】 广西师范大学 ， 国民经济学， 2008， 硕士

【摘要】 随着世界经济一体化进程的加快,金融创新和国际化的浪潮席卷全球。但在中国的资本项目人民币自由兑换还没完全实现的背景下,数量众多的在华跨国公司需要规避人民币汇率风险的金融工具,离岸人民币无本金非交割远期(NDF)市场迅速发展。随着通信技术和金融自由化的发展,国内外金融市场间信息传递越来越快,交易成本也越来越低。境内外人民币汇率市场之间应具有相当程度的联系。因此,本文运用协整理论、格兰杰因果分析和VAR-BEKK模型等计量经济学和时间序列方法分别对境内外人民币市场间汇率及其波动溢出关系进行了研究。本文对研究区间内数据以2005年7月21日人民币汇率制度改革为界分为两阶段进行实证分析。首先对境内外人民币市场间汇率关系的理论模型、相互影响机制进行分析。接着,本文运用JB统计量和Q LB统计量对境内外人民币市场间汇率收益率数据进行基本统计分析,然后运用协整方法及格兰杰因果分析对境内外人民币市场间的汇率关系进行了实证研究,并引入VAR-BEKK模型,利用LM检验法来检验残差序列的ARCH效应;在此基础上运用VAR-BEKK模型对境内外人民币市场间的波动溢出效应进行实证分析。最后,在实证研究的基础上分析境内外人民币市场间波动溢出效应的产生机理,并对我国汇率机制的完善提出了一些政策建议。研究结果表明,境内外人民币汇率市场之间存在显著的协整关系,在汇率制度改革之前仅存在着单向的人民币NDF对即期汇率的引导,即在境外人民币NDF市场上对于影响人民币汇率的信息反应更加迅速;而在汇率制度改革之后,即期汇率和NDF之间的存在着双向格兰杰因果关系,即由单向引导关系转化为互动关系。境内外人民币市场汇率之间波动溢出效应的不对称,说明境内外人民币市场间信息流的存在,但由于传导机制等方面的原因导致短期和中长期的波动溢出效应方向有所不同。汇率制度改革之前,境内人民币市场与短期境外人民币市场(1月期NDF)间存在着双向波动溢出效应,且具有持续性的特征;境内人民币市场与中长期境外人民币市场(1年期NDF)间的波动溢出效应则不明显。汇率制度改革之后,境内人民币市场对短期境外人民币市场存在着单向的波动溢出影响,而与中长期境外人民币市场间还是存在着双向波动溢出效应。这些研究对于配置资产组合和防范金融风险等有着重要的意义。更多还原

【Abstract】 Along with the globalization of world economy, the wave of financial innovation and internationalization has swept the world. As China’s currency RMB could not be exchanged freely yet, many foreign companies in China require financial products to offset their loss resulted from the change of exchange rate. That’s why the market of RMB NDF (Non-Delivery Forward) is developing so fast. With the development of communication technology and financial liberalization, the information communication between foreign and domestic market is getting faster and faster while the trading cost is getting lower and lower. This paper implements cointegration theory and VAR-BEKK model in studying the relationship between domestic/foreign RMB market rates and the volatility spillovers.We divide our work of data analysis into two parts: before and after July 21st, 2005, on which day the new policy of RMB exchange rate was taken into effect. Firstly, this paper analyzes the theory model and influence mechanism between domestic RMB forex market and off-shore RMB forex market, as well as the cause mechanism of the volatility spillovers. Secondly, JB statistics and Q LB statistics are introduced to analyze the domestic forex market and off-shore forex return serials. Then cointegration test and Granger causality test is implemented in the empirical study on their relationship. Thirdly, the LM test is used to test the ARCH effect of residual serial. Finally, with the VAR-BEKK model, this paper makes an empirical analysis on the volatility spillovers effect between domestic RMB forex market and off-shore RMB forex market. This paper also gives some proposals for the improvement of our nation’s exchange rate policy.Statistics show that there is a significant cointegration relationship between domestic RMB forex market and off-shore RMB forex market. Before the reform of exchange rate system, the RMB NDF is the single-directional guide to spot rate and the foreign RMB NDF market is sensitive to the information which influences the RMB exchange rate. After the reform of exchange rate system, there is a bi-directional Granger causality relationship between spot rate and NDF. The single-directional guide is changed into interaction. The dissymmetry of volatility spillovers between foreign and domestic RMB rate shows the existence of information communication between foreign and domestic RMB markets. However, the directions of short term and medium term volatility spillovers are different from each other due to the conduction mechanism. Before the reform of exchange rate system, there are continuous bi-directional volatility spillovers between domestic RMB market and short-term foreign RMB market (one month NDF); while the volatility spillovers effect between domestic RMB market and middle-long term foreign RMB market is not so obvious. After the reform of exchange system, domestic RMB market has great single-directional volatility spillovers influence to the short-term foreign RMB market. Meanwhile, bi-directional volatility spillovers still exist between middle and long term foreign RMB market. The studies mentioned above are significant to collocate asset portfolios and prevent financial risks.更多还原