[1]杨玲玲,陈 军.中国与东盟外汇市场间的货币风险溢出效应[J].金融教育研究,2016,(01):29-37.
　YANG Lingling,CHEN Jun.The Risk Spillover Effects in Foreign Exchange Markets between China and ASEAN Countries[J].,2016,(01):29-37.
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中国与东盟外汇市场间的货币风险溢出效应()
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《金融教育研究》[ISSN:1006-6977/CN:61-1281/TN]

卷:
期数:
2016年01期
页码:
29-37
栏目:
出版日期:
2016-03-01

文章信息/Info

Title:
The Risk Spillover Effects in Foreign Exchange Markets between China and ASEAN Countries
作者:
杨玲玲;  陈 军
1.云南师范大学 经济与管理学院,云南 昆明 650500; 2.云南大学 工商管理与旅游管理学院,云南 昆明 650091
Author(s):
YANG Lingling;  CHEN Jun
1.School of Economics and Management,Yunnan Normal University,Kunming,Yunnan 650500,China; 2.School of Business Administration and Tourism Management, Yunnan University,Kunming,Yunnan 650091,China
关键词:
中国-东盟地区;  区制依赖;  MSVAR模型;  溢出效应
Keywords:
China and ASEAN region;  regional dependenc;  MSVAR model;  spillover effect
分类号:
F830.91
文献标志码:
A
摘要:
以中国-东盟自由贸易区金融一体化为背景,研究了人民币与七种主要东盟货币的汇率波动溢出效应。通过MSVAR模型检验,发现了中国-东盟新兴市场经济体的汇率波动跳跃性和区制依赖特性,证明了中国与东盟各国外汇市场间存在着显著的汇率波动溢出效应,且这种效应具有由东盟国家向中国的单向风险传染性以及近邻国风险传染度大于远邻国的不对称性。此外,汇率波动的溢出效应还具有一定的持续性,这会导致人民币与东盟各国汇率的波动同步加剧。
Abstract:
Based on the Financial Integration of China-ASEAN Free Trade Area,this paper made a research about the spillover effects of exchange rate volatility between RMB and seven currencies of ASEAN countries.Through the MSVAR model test,the author found that the exchange rate volatility of China-ASEAN emerging market economies is saltatory and it has regional dependence characteristics,it verifies that there is a significant spillover effects of exchange rate fluctuations between China and ASEAN countries foreign exchange market,and it have no symmetry,the infection risk degree of close neighbours is greater than the far from neighbouring.In addition,the exchange rate volatility spillover effect also has certain continuity,this will lead to the synchronization of exchange rate fluctuations in RMB and ASEAN countries.

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备注/Memo

备注/Memo:
基金项目:云南省教育厅科学研究基金项目“中国-东盟货币汇率区制转移与风险溢出的门限效应研究”(2014Y131)
更新日期/Last Update: 1900-01-01