境内外人民币汇率市场的关系研究-国民经济学专业论文.docxVIP

II II 显。汇率制度改革之后，境内人民币市场对短期境外人民币市场存在着单向的波动溢出影 响，而与中长期境外人民币市场间还是存在着双向波动溢出效应。这些研究对于配置资产 组合和防范金融风险等有着重要的意义。 关键词： 协整；格兰杰因果；波动溢出；VAR-BEKK 模型 PAGE PAGE IV Research of the Relationship between Domestic and Off-shore RMB Forex Market Abstract Along with the globalization of world economy, the wave of financial innovation and internationalization has swept the world. As China’s currency RMB could not be exchanged freely yet, many foreign companies in China require financial products to offset their loss resulted from the change of exchange rate. That’s why the market of RMB NDF (Non-Delivery Forward) is developing so fast. With the development of communication technology and financial liberalization, the information communication between foreign and domestic market is getting faster and faster while the trading cost is getting lower and lower. This paper implements cointegration theory and VAR-BEKK model in studying the relationship between domestic/foreign RMB market rates and the volatility spillovers. We divide our work of data analysis into two parts: before and after July 21st, 2005, on which day the new policy of RMB exchange rate was taken into effect. Firstly, this paper analyzes the theory model and influence mechanism between domestic RMB forex market and off-shore RMB forex market, as well as the cause mechanism of the volatility spillovers. Secondly, JB statistics and QLB statistics are introduced to analyze the domestic forex market and off-shore forex return serials. Then cointegration test and Granger causality test is implemented in the empirical study on their relationship. Thirdly, the LM test is used to test the ARCH effect of residual serial. Finally, with the VAR-BEKK model, this paper makes an empirical analysis on the volatility spillovers effect between domestic RMB forex market and off-shore RMB forex market. This paper also gives some proposals for the improvement of our nation’s exchange rate policy. Statistics show that there is a significan