人民币与“一带一路”主要国家货币汇率动态联动研究——基于VAR-DCC-MVGARCH-BEKK模型的实证分析

Studies of International Finance ›› 2018, Vol. 376 ›› Issue (2) : 19-29.

Studies of International Finance ›› 2018, Vol. 376 ›› Issue (2) : 19-29.

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Abstract

In this paper, the research object is the dynamic linkage of exchange rate between RMB and the major currencies in countries included in“The Belt and Road”strategy. The VAR-DCC-MVGARCH-BEKK model is established in three stages to test the mean spillover effect the dynamic correlation and linkage continuity between RMB and the“The Belt and Road”major currencies. It is found that the RMB exchange rate has a certain regional radiation effect to the selected countries, as represented by the significant mean spillover effect, a positive time-varying correlation, the certain linkage continuity, though the radiation is not strong, which indicates that the impact of RMB exchange rate fluctuations on the conduction and the relevance is not that strong. The main reason for this would be low acceptance of RMB in countries along“The Belt and Road”. We should further carry out cross-border RMB business in countries along the border, strengthen financial cooperation to establish a regional currency stability mechanism, and strengthen the construction of overseas development zones.

Key words

RMB Exchange Rate / “The Belt and Road”Initiative; / VAR-DCC-MVGARCH-BEKK Model / Exchange Rate Linkage

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