国际油价、人民币汇率与国内金价的非对称溢出及动态传 导机制 ------ 基于三元VAR-Asymmetric BEKK (DCC)-GARCH (1, 1)模型
陈宇峰,朱志韬,屈放
系统科学与数学 ›› 2021, Vol. 41 ›› Issue (2) : 449-465.
国际油价、人民币汇率与国内金价的非对称溢出及动态传 导机制 ------ 基于三元VAR-Asymmetric BEKK (DCC)-GARCH (1, 1)模型
Asymmetric Spillover Effect and Dynamic Correlation Between Crude Oil, RMB Exchange Rate and Chinese Gold Price: Based on VAR-Asymmetric BEKK (DCC)-GARCH (1, 1) Model
利用三元VAR-Asymmetric BEKK (DCC)-GARCH (1, 1)模型研究国际原油价格, 人民币兑美元汇率和中国黄金价格之间的均值溢出与非对称波动溢出效应, 同时探究各个市场间的冲击响应和动态关联性. 研究发现, 国际原油价格对人民币汇率及国内黄金价格存在单向的均值溢出和波动溢出效应, 而汇 率和金价间存在着双向的均值溢出和波动溢出效应. 而且, 面对来自国际原油市场的冲击, 人民币汇率表现出明显的负响应, 而国内金价则表现出明显的正响应. 国际油价不但直接影响国内黄金价格, 而且还会通过人民币汇率间接影响国内黄金价格. 最后, 上述三者不仅自身的波动性存在非对称特征, 而且来自国内黄金市场的负面消息还会加大人民币汇率下跌的风险. 上述结论对中国进一步完善国内原油期货交易市场, 积极推进人民币国际化进程, 加强国内黄金储备, 并以此协调重大战略物资储备商品与保障经济安全提供了一个强有力的理论基础与经验证据.
Based on the VAR-Asymmetric BEKK (DCC)-GARCH (1, 1) model, this paper studies the mean and volatility spillovers and its asymmetry of international crude oil price, Chinese gold price and the exchange rate of RMB against the U.S. dollar. Empirical results reveal that there is only unidirectional mean and volatility spillover effect from international crude oil to Chinese gold price and RMB exchange rate. However, there are bidirectional mean and volatility spillover effect between Chinese gold price and RMB exchange rate. RMB exchange rate displays a negative response to the impact of international crude oil, while Chinese gold price shows a positive response. International crude oil price not only directly affects Chinese gold price, but also has indirectly impacts through RMB exchange rate. Finally, the volatility of the three is asymmetric, and negative news from Chinese gold market will further increase the risk of a fall in the RMB exchange rate. These conclusions provide a strong theoretical basis and empirical evidence for China to establish an independent crude oil trading market, promote the internationalization of RMB and strengthen its gold reserves as a way to coordinate major strategic material reserve and safeguard economic security.
VAR-Asymmetric BEKK (DCC)-GARCH (1 / / 1)模型 / / 溢出效应 / / 国际油价 / / 人民币汇率 / / 国内金价. {{custom_keyword}} /
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