美元與人民幣匯率指數共同跳躍行為—CBP-GARCH模型應用

Analyze the Dynamic Behavior of Dollar and RMB Index：Application of CBP-GARCH Model

劉少均(Shao-Chun Liu)

指導教授 ： 邱建良

共同指導教授 ： 張鼎煥(Ting-Huan Chang)

淡江大學/商管學院/財務金融學系碩士在職專班/碩士(2019年)

https://doi.org/10.6846/TKU.2019.00250

摘要

中美兩國與臺灣貿易額極高，臺灣企業與投資人亦持有大量兩種貨幣，兩種匯率現貨價大幅波動將對企業與投資人資產造成風險，匯率指數提供相對簡單的避險方式，本研究旨係探討美元匯率指數與人民幣匯率指數報酬跳躍相關性，討論兩指數遭遇事件衝擊時動態跳躍與波動特徵，使用Chan(2003)提出之CBP-GARCH(correlated bivariate Poisson with GARCH)模型，樣本期間自2010年6月21日至2019年1月11日美元匯率指數與人民幣匯率指數日資料捕捉兩種匯率指數報酬率序列之共同跳躍與波動，觀察共同跳躍衝擊事件前後期共同跳躍係數變化，再以2018中美貿易戰切割樣本，觀察貿易戰對兩種匯率指數報酬率相關係數、共變異數與波動的影響。研究發現，人民幣匯率指數與美元匯率指數皆有波動叢聚與共同跳躍現象，兩種匯率指數之本身報酬率波動小，美元匯率指數波動對於人民幣匯率指數有影響，反之則無；衝擊事件對兩種匯率指數產生共同跳躍現象但強度遞減；貿易戰開始後，兩者共同跳躍強度降低且匯率指數報酬率呈現負相關，具有避險意義。

關鍵字

美元匯率指數 ； 人民幣匯率指數 ； CBP-GARCH ； 共同跳躍

並列摘要

Taiwan’s economy, to a large extent, is dependent on trading with China and the United States. The fluctuations in the exchange rates between USD and NTD as well as RMB and NTD may lead to potential losses of corporations and investors in Taiwan. The exchange rate index provides a simple method for hedging. The purpose of this study is to explore the correlation between the dollar index's and the renminbi index's dynamic behavior and to discuss the dynamic jump as well as the volatility of the two indices when certain events shock the market. This can be achieved by utilizing the CBP-GARCH (Correlated Bivariate Poisson with GARCH) model proposed by Chan (2003). In this study, the sampling period for both the RMB index and the USD index is from June 21, 2010, to January 11, 2019, from which data capture the correlation jumps and fluctuations between the two index returns and, the changes in the correlated jump can be observed before and after the shock event. Using the “2018 China-United States trade war” starting date and separate the sample into the two periods. Proceed to observe the impact of the warfare looking at the before and after of the correlation coefficients, covariance, and dynamic jumps of the two indices. The study found that both the RMB index and the USD index have volatility clustering and correlated jumps. However, both had some independent jumps. The fluctuation of the US dollar index has an impact on the RMB index, but not vice versa. The events' shock produces correlated jumps, but the intensity decreases as time passes. When the trade war started, the correlated jump's strength of the two index decreases and presents a negative correlation, creating an opportunity for hedging.

並列關鍵字

Dollar Index ； RMB Index ； CBP-GARCH ； Dynamic Behavior

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