作　　者： ; ;

机构地区： 中山大学岭南学院

出　　处： 《国际金融研究》 2013年第5期32-48,共17页

摘　　要： 本文基于Nucci(2003)的三货币框架,以人民币、韩元和新台币为研究对象,综合考察了这些货币存在市场分割的境内外远期外汇市场以及不同货币之间的跨货币溢出效应对汇率预测的影响。基于DCC-GARCH-X模型的实证结果表明,跨货币溢出效应确实存在,其中,NDF市场在一般时期比DF市场的影响更明显,而危机时期DF市场的影响显著增强;NDF主要以短期期限影响较为显著,而DF则以长期期限为主。此外,三种货币外汇市场的波动都具有较高的持续性,并且以人民币为最长;而市场间的波动溢出为单向溢出且条件相关关系具有显著的时变性。本文的结果对国际投资者的投资决策具有重要的参考价值,同时对政府关于国际储备的增值保值决策以及外汇市场改革也有一定的启示作用。 Based on the tri-currency framework of Nucci （2003） , this study provides a comprehensive exploration on the potential influence of the market segmentation in the forward foreign exchange market and the existence of cross-currency spillover on the spot exchange rate forecast with RMB, KRW and TWD involved into consideration. The empirical results, which are based on the DCC-GARCH-X model, show that the cross-spiilover effect prevails. To be exact, NDF market is more pronounced than DF market during the normal period whereas the impact of DF market increased significantly during the crisis period; In terms of maturity, NDF with short-term maturities exert more significant impact while DF with long maturities usually have more significant impact. Moreover, the volatility persistence of these three currencies＇ foreign exchange market are fairly high, with RMB exchange rate market ranking the highest; the unilateral volatility spillover and time-varying conditional covariances among these markets are detected. The above results have important implications for the international investors as well as the governments.

关 键 词： 跨货币溢出效应 市场 市场 汇率预测

领　　域： [经济管理]