摘要
构建了基于马尔可夫转换—广义自回归条件异方差(MS-GARCH)模型的汇率波动模型,并实证研究了2008年金融危机前后不同经济特征的国家或地区的货币汇率波动转换特征.结果表明:危机期间的突发事件、宏观经济形势的改变、央行干预政策以及国际利差交易行为是汇率波动状态转换的可能原因.本文为辨别金融危机期间汇市的周期变化,分析和预测市场走势,以及为央行干预和政策制定提供了一定的统计依据.
The paper constructs a new model for exchange rate volatility based on Markov-switching GARCH model（MS-GARCH）,and empirically studies the characteristics of exchange rate volatility in countries or regions with different economic characteristics before and after the 2008 financial crisis.Our study shows that emergencies during the crisis,changes in the macroeconomic situation,intervention policies of the central bank and carry trade behaviors are possible causes of the state transition of exchange rate volatility.This work provides a statistical basis for identifying the cycle changes of foreign exchange markets during the financial crisis,analyzing and forecasting market trends,and making central bank interventions and drafting policy.
出处
《管理科学学报》
CSSCI
北大核心
2012年第4期40-49,共10页
Journal of Management Sciences in China
基金
国家自然科学基金资助项目(71101093
70771066)
上海市"曙光计划"资助项目(07SG17)
