Revaluation of RMB Exchange Rate and Stock Market Risk Spillover Effect: Research on Markov Switching Model Based on Markov Switching and Mixed Time-Varying Copula

›› 2018, Vol. 34 ›› Issue (9): 55-65.

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Revaluation of RMB Exchange Rate and Stock Market Risk Spillover Effect: Research on Markov Switching Model Based on Markov Switching and Mixed Time-Varying Copula

ZHAO Fang¹, LIU Yajun²

1.School of Economics, Jilin University, Changchun 130012, China;
2.“Social Science Front” Magazine, Jilin Academy of Social Science, Changchun 130031,China

Received:2018-03-02 Online:2018-09-10 Published:2018-09-11

人民币汇率与股市的风险溢出效应再检验——基于马尔科夫转换GARCH模型和混合时变copula模型的研究

赵放¹, 刘雅君²

1.吉林大学经济学院,吉林长春 130012;
2.吉林省社会科学院《社会科学战线》杂志社,吉林长春 130031

作者简介:赵放(1983-),男,吉林长春人,吉林大学经济学院副教授,博士生导师;刘雅君(1983-),女,河北邯郸人,吉林省社会科学院《社会科学战线》杂志社副研究员,博士。
基金资助:
吉林省科技厅软科学项目(20180418026FG);吉林省教育厅“十三五”社科项目(JJKH20180300JY)

Abstract

Abstract: This paper uses the exchange rate of RMB against the US dollar and the CSI 300 Index as the research objects, and applies the Markov-Switching GARCH model to analyze the nonlinear characteristics of the two. The exchange rate fluctuations are divided into three intervals according to the low-frequency and high-frequency conditions, which coincide with the 2015 reform in terms of time. We then use the mixed time-varying copula to construct a model of the volatility of the exchange rate and the stock market in three sub-samples. The study finds that the exchange rate reform in 2015 reshaped the risk spillover effect of China's exchange rate market and stock market. After the exchange rate reform, the risk correlation between the two markets has increased and showed a positive spillover effect.

Key words: Markov-switch GARCH Model, Mixed Time-varying Copula, Exchange Rate, Risk Spillover Effect

摘要： 本文以人民币兑美元汇率和沪深300指数为研究对象,使用马尔科夫转换GARCH模型分析了两者的波动非线性特征,利用该模型将汇率波动按照低频和高频状态分成了三个区间,并且从时间上与2015年的汇改相重合。同时,使用混合时变copula对三个子样本上汇率市场和股票市场波动率关联性建模。研究发现:2015年的汇率改革重塑我国汇率市场和股票市场的风险溢出效应;汇改后,两市风险关联性增加,并表现出了正面溢出效应。

关键词: 马尔科夫转换GARCH模型, 混合时变copula模型, 汇率, 风险溢出效应

CLC Number:

F832.5

ZHAO Fang, LIU Yajun. Revaluation of RMB Exchange Rate and Stock Market Risk Spillover Effect: Research on Markov Switching Model Based on Markov Switching and Mixed Time-Varying Copula[J]. , 2018, 34(9): 55-65.

赵放, 刘雅君. 人民币汇率与股市的风险溢出效应再检验——基于马尔科夫转换GARCH模型和混合时变copula模型的研究[J]. 财经论丛, 2018, 34(9): 55-65.

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Revaluation of RMB Exchange Rate and Stock Market Risk Spillover Effect: Research on Markov Switching Model Based on Markov Switching and Mixed Time-Varying Copula

人民币汇率与股市的风险溢出效应再检验——基于马尔科夫转换GARCH模型和混合时变copula模型的研究

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