| 我国汇改后汇率波动的实证研究 |
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| 引用本文： | 王黎明.我国汇改后汇率波动的实证研究[J].泰山学院学报,2010,32(3):1-7. |
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| 作者姓名： | 王黎明 |
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| 作者单位： | 上海财经大学,统计与管理学院,上海,200433 |
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| 基金项目： | 上海市重点学科建设项目，上海财经大学"211"三期工程资助项目 |
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| 摘 要： | 本文通过ARCH族模型来对人民币/美元汇率收益率进行建模,并分析其波动的杠杆效应和风险溢价效应,结果发现汇改后外汇市场效率有所提高,外汇市场的风险可由过去的风险程度加以预测.由TARCH、EGARCH、EGARCH-M模型的研究显示人民币/美元汇率收益率存在杠杆效应,存在明显的非对称性,还不具备具有的高风险高回报的风险溢价效应特征.
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| 关 键 词： | 汇率波动 收益率 ARCH族模型 |
Empirical Analysis of the Volatility of RMB Exchange Rate after the Exchange Rate Reform |
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| WANG Li-ming.Empirical Analysis of the Volatility of RMB Exchange Rate after the Exchange Rate Reform[J].Journal of Taishan University,2010,32(3):1-7. |
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| Authors: | WANG Li-ming |
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| Institution: | WANG Li-ming(School of Statistics and Management,Shanghai University of Finance and Economics,Shanghai,200433,China) |
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| Abstract: | In this paper,we analyze the volatility of RMB/US dollar exchange rate through ARCH model.And the results show that after the exchange rate reform the efficiency of the foreign exchange market has been improved and the level of risk could be predicted by the risk of the past.GARCH-M model has a better effect in fitting the return of exchange rate than GARCH model.The studies of TARCH model,EGARCH model and EGARCH-M model have shown that the return of RMB/dollar exchange rate exists obviously asymmetry and l... |
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| Keywords: | exchange rate the return of exchange rate ARCH model |
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