| 摘要: |
| 随着全球化进程的加速,中国汇率市场与国际原油市场间的联系不断加强,市场间波动传递与风险传染的可能性也逐渐加大。鉴于中国在岸汇率市场与离岸汇率市场在交易主体、监管条件等方面具有明显的异质性,将BEKK-GARCH-TVP Copula模型与CoVaR方法结合,来考察两汇率市场与国际原油市场间的动态非线性相依结构,并准确度量中国汇率市场与国际原油市场间的波动与风险溢出效应。研究结果表明:离岸汇率市场与国际原油市场间存在双向波动与风险溢出效应;国际原油市场对在岸汇率市场存在单向波动以及下行风险溢出效应;此外,风险发生时中国汇率市场和国际原油市场分别处于风险接受和风险输出地位。实证结果可以为跨境企业、国际投资者以及政府监管部门的决策行为提供经验支持。 |
| 关键词: 风险溢出 波动溢出 中国汇率市场 BEKK-GARCH-TVP Copula模型 CoVaR |
| DOI：10.13216/j.cnki.upcjess.2021.05.0001 |
| 分类号:F832.5 |
| 基金项目:国家优秀青年科学基金项目(71922013) |
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| Spillover Effects Between Chinese Exchange Rate Market and International Oil Market: Empirical Analysis Based on BEKK-GARCH-TVP Copula Model |
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WU Fei, LIU Mengmeng, WANG Qunwei
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(College of Economics and Management, Nanjing University of Aeronautics and Astronautics, Nanjing, Jiangsu 211106, China)
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| Abstract: |
| With the acceleration of globalization, the relations between the Chinese exchange rate market and the international oil market have been continuously strengthened, which increases the possibility of volatility transmission and risk contagion between markets. In view of the obvious heterogeneity of China 's onshore exchange rate market and offshore exchange rate market in terms of transaction subjects and regulatory conditions, the BEKK-GARCH-TVP Copula model is combined with the CoVaR method in this paper to describe the dynamic non-linear dependence structure between the Chinese exchange rate market and the international crude oil market and accurately measure the volatility and risk spillover effects between the markets. The empirical results suggest that there are the bidirectional volatility and risk spillover effects between offshore market and oil market, and oil market has negative volatility and downside risk spillover effects on onshore market. Besides, the oil market is in risk-output status when the risk occurs, while the exchange rate markets are in risk-acceptance status. The risk spillover effects of offshore market on oil market are significantly stronger than that of onshore market. The results of this paper can provide empirical supports for the decisions of cross-border enterprises, international investors and government regulators. |
| Key words: risk spillovers volatility spillovers Chinese exchange rate market BEKK-GARCH-TVP Copula model CoVaR |
