人民币“入篮”对国际主要货币相依结构影响研究——基于VMD分解与R-vine模型的实证分析
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摘要
人民币"入篮"是中国积极参与全球治理、为世界发展贡献力量的意愿体现。人民币国际化为世界经济注入新活力的同时,也为汇率市场风险管理带来了新的挑战。本文选取人民币、美元、欧元、日元、英镑、加元、澳元、瑞士法郎、瑞典克朗作为国际主要货币,通过构建基于VMD分解与R-vine模型分别从短期与长期视角探讨人民币"入篮"前后货币相依关系的变化。实证结果表明:人民币加入特别提款权使得其在短期汇率市场中的地位逐渐提升,但在长期汇率市场中的重要性仍未显现;美元与人民币、欧元分别在短期和长期汇率市场中表现出更高的相依强度。因此,本文认为应继续深化人民币汇率制度改革并建议投资者加强对汇率尾部风险溢出的防范,灵活制定投资策略。
The "into the basket"of the renminbi is a manifestation of China's willingness to actively participate in global governance and contribute to world development. While the internationalization of the renminbi has injected new vitality into the world economy, it has also brought new challenges to the risk management of the exchange rate market. This paper selects RMB, USD, EUR, JPY, GBP, CAD, AUD, CHF, and SEK as the major international currencies.By constructing a VMD-based decomposition and R-vine model, we will discuss the RMB"into the basket"from a short-term and long-term perspective. Changes in the relationship between the currency before and after. The empirical results show that the renminbi's participation in the SDR has gradually increased its position in the short-term exchange rate market, but its importance in the long-term exchange rate market has not yet appeared; the US dollar and the renminbi and the euro have shown in the short-term and long-term exchange rate markets respectively. Higher dependency strength. Therefore, this paper believes that we should continue to deepen the reform of the RMB exchange rate system and suggest that investors strengthen the prevention of risk spillovers at the end of the exchange rate and flexibly formulate investment strategies.
The "into the basket"of the renminbi is a manifestation of China's willingness to actively participate in global governance and contribute to world development. While the internationalization of the renminbi has injected new vitality into the world economy, it has also brought new challenges to the risk management of the exchange rate market. This paper selects RMB, USD, EUR, JPY, GBP, CAD, AUD, CHF, and SEK as the major international currencies.By constructing a VMD-based decomposition and R-vine model, we will discuss the RMB"into the basket"from a short-term and long-term perspective. Changes in the relationship between the currency before and after. The empirical results show that the renminbi's participation in the SDR has gradually increased its position in the short-term exchange rate market, but its importance in the long-term exchange rate market has not yet appeared; the US dollar and the renminbi and the euro have shown in the short-term and long-term exchange rate markets respectively. Higher dependency strength. Therefore, this paper believes that we should continue to deepen the reform of the RMB exchange rate system and suggest that investors strengthen the prevention of risk spillovers at the end of the exchange rate and flexibly formulate investment strategies.
引文
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[2]Yang L,Cai X J,Zhang H,et al.Interdependence of foreign exchange markets:A wavelet coherence analysis[J].Economic Modelling,2016.
[3]李富有、张中岩、刘希章.人民币汇率波动来源研究--基于非线性BEER模型的实证分析[J].价格理论与实践,2016(12).
[4]Mensi W,Hammoudeh S,Shahzad S J H,et al.Modeling systemic risk and dependence structure between oil and stock markets using a variational mode decomposition-based copula method[J].Journal of Banking and Finance,2017.
[5]Jianwei E,Bao Y,Ye J.Crude oil price analysis and forecasting based on variational mode decomposition and independent component analysis[J].Physica A:Statistical Mechanics and its Applications,2017.
[6]韩超、严太华.基于高维动态藤Copula的汇率组合风险分析[J].中国管理科学,2017(2).
[7]傅魁、郭志颖.人民币汇率价格波动及短期预测--基于MEEMD组合模型[J].价格理论与实践,2017(3).
[8]Albulescu C T,Aubin C,Goyeau D,et al.Extreme co-movements and dependencies among major international exchange rates:A copula approach[J].The Quarterly Review of Economics and Finance,2018.
[9]Yu W,Yang K,Wei Y,et al.Measuring Value-at-Risk and Expected Shortfall of crude oil portfolio using extreme value theory and vine copula[J].Physica A:Statistical Mechanics and its Applications,2018.
[10]邹玉梅、范敬雅.基于广义自回归得分模型的时变D-vine的应用[J].数理统计与管理,2018(1).
[11]黄乃静、汪寿阳.中欧货币汇率的极端风险传播研究[J].管理科学学报,2018(12).