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人民币与亚太地区在岸和离岸美元期货之间的波动性转移
Roberta Colavecchio1, Michael Funke1
1Department of Economics, Hamburg University, Von-Melle-Park 5, 20146 Hamburg, Germany.
概括
中国人民币非交付期货 (NDF) 市场影响亚洲货币市场,但溢出效应各不相同. 现实和金融整合在很大程度上推动了市场之间的波动性传播.
科学领域:
- 金融计量经济学 金融计量经济学
- 国际金融 国际金融
背景情况:
- 了解波动溢出影响对于金融市场稳定性和政策至关重要.
- 中国非交付期货 (NDF) 市场在区域波动性传播中的作用需要调查.
研究的目的:
- 分析中国NDF市场和七个亚太市场之间的波动性溢出效应.
- 调查动态相关性和决定因素对波动性传播的影响.
主要方法:
- 多变量通用自回归条件异质二元复杂性 (GARCH) 技术.
- 包括一个动态相关性结构来建模时间变化的条件相关性.
- 经验分析涵盖1998年1月至2005年3月.
主要成果:
- 中国人民币NDF市场是几个亚洲货币市场的重要驱动力.
- 波动性溢出影响在不同货币对中表现出相当大的异质性.
- 市场之间的实际和金融整合程度是波动传播幅度的关键决定因素.
结论:
- 中国NDF市场对区域市场的影响力得到证实,尽管不均.
- 经济一体化水平是解释波动溢出效应强度的关键因素.
- 调查结果为综合金融市场的风险管理和政策提供了洞察力.
关键词:
亚洲 亚洲 亚洲 亚洲 亚洲C2222 这是一个很好的例子.中国中国中国中国.F31 F31 是一个字母.F36 F36 F36 F36 F36 F36 F36 F36 F36 F36 F36 F36 F36 F36 F36 F36期货汇率是指期货的汇率.多变量GARCH模型中的多变量.非交付期货期货市场的非交付期货.人民币人民币人民币更多相关视频
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