基于CAViaR模型的汇率隔夜风险研究

doi:10.16381/j.cnki.issn1003-207x.201.06.003

中国管理科学 ›› 2015, Vol. 23 ›› Issue (6): 17-24.doi: 10.16381/j.cnki.issn1003-207x.201.06.003

基于CAViaR模型的汇率隔夜风险研究

简志宏, 彭伟

华中科技大学经济学院, 湖北武汉 430074

收稿日期:2014-05-01 修回日期:2014-11-24 出版日期:2015-06-20 发布日期:2015-07-22
作者简介:简志宏(1968-),男(汉族),四川泸州人,华中科技大学经济学院教授,博士生导师,研究方向:金融风险管理、宏观经济政策评价.
基金资助:
中央高校基本科研业务费资助(2015AA012)

The Overnight Risk of Exchange Rate Research Based on CAViAR

JIAN Zhi-hong, PENG Wei

School of Economics, Huazhong University of Science and Technology, Hubei 430074, China

Received:2014-05-01 Revised:2014-11-24 Online:2015-06-20 Published:2015-07-22

摘要/Abstract

摘要： 针对目前缺乏美元当日汇率对其他汇率市场隔夜风险影响的研究,本文在CAViaR模型中的AS模型和SAV模型基础上提出隔夜-AS模型和隔夜-SAV模型来测量汇率隔夜风险,并对日元汇率,人民币汇率和港币汇率2009年到2014年的数据进行实证分析,研究结果表明隔夜-AS模型和隔夜-SAV模型均优于AS模型和SAV模型,且隔夜-AS模型又优于隔夜-SAV模型。这三个汇率的隔夜风险均受到滞后风险的影响,且人民币汇率所受滞后风险最大,美元指数的波动都将加大这三个汇率市场的隔夜风险,美元对日元和港币汇率的冲击大于对人民币汇率的冲击,美元走弱对这三个市场隔夜风险影响大于美元走强所带来的影响,这些都为我国汇率隔夜风险的管理提供了新的方法和思路。

关键词: 条件自回归分位数风险价值, 汇率市场, 隔夜风险

Abstract: Currently, there is little quantitative analysis literature about the impact of dollar exchange rate on the overnight of other markets. Overnight-AS model and Overnight-SAV model are proposed in this article to measure the overnight risk of exchange rate based on AS mode and SAV model of CAViaR. Then these models are used to measure the risk of Yen exchange rate, HK exchange rate and RMB exchange rate,which select from 2009 to 2014 and then the pros and cons of each model are compared. The results show that Overnight-AS model and Overnight-SAV model are better than AS model and SAV model. Overnight-AS model is better than Overnight-SAV model. The overnight risk of these three exchange rates are affected by lag risks and RMB exchange rate are suffered the biggest risk. Fluctuations in the dollar index will increase the overnight market rates of these three risks. The impact of the RMB exchange rate by the dollar index is less than HK exchange rate and Yen exchange rate. The impact of the weaker dollar on overnight risk is greater than the impact of the stronger dollar. New ideas and methods for the management of exchange rate overnight risk are provided in this paper.

Key words: CAViaR, exchange market, the overnight risk

中图分类号:

F830.91

简志宏, 彭伟. 基于CAViaR模型的汇率隔夜风险研究[J]. 中国管理科学, 2015, 23(6): 17-24.

JIAN Zhi-hong, PENG Wei. The Overnight Risk of Exchange Rate Research Based on CAViAR[J]. Chinese Journal of Management Science, 2015, 23(6): 17-24.

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基于CAViaR模型的汇率隔夜风险研究

The Overnight Risk of Exchange Rate Research Based on CAViAR

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