人民幣政策對貨幣連動與波動外溢之影響

The impact of RMB policy on currency co-movement and volatility spillover

黃澤男(Ze-Nan Huang)

指導教授 ： 陳佑倫

中原大學/商學院/財務金融研究所/碩士(2019年)

https://doi.org/10.6840/cycu201900172

摘要

在本文中，我們探討了人民幣在經過了2015年8月11日的人民幣中間價定價改革之後，它在國際市場上是否具有更大的影響力，並且人民幣通過波動性的渠道，對一帶一路沿線國家的貨幣產生影響。我們使用的數據期間為2014年8月11日至2017年9月1日，並且同時對在岸人民幣和離岸人民幣進行了研究。我們使用Frankel-Wei回歸方程加上GARCH（1,1）模型。根據我們的結果，我們發現政策變化後人民幣對亞洲貨幣影響變大。在逐步自由化和國際化之後，人民幣在國際市場上變得更有影響力。並且它的影響力不僅僅局限於在于在亞洲範圍內。

關鍵字

人民幣 ； 波動性 ； GARCH(1,1)

並列摘要

In this paper we discussed that RMB has become more powerful after the August 2015 exchange rate reform in the international market and the impact of the RMB on the currencies of the Belt and Road countries via volatility channel. Our data period is from August 11, 2014 to September 1, 2017, moreover, both onshore RMB and offshore RMB were conducted in the research. For empirical analysis, we used Frankel–Wei regression equation and GARCH (1,1) model. According to our results, we find the RMB has become more powerful after the policy changes. After its gradual liberalization and internationalization, the RMB has become more influential in the international market.

並列關鍵字

RMB ； volatility ； GARCH (1,1)

參考文獻

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