基于CAViaR模型的汇率隔夜风险研究

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

Abstract

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

CLC Number:

F830.91

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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The Overnight Risk of Exchange Rate Research Based on CAViAR

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