用扩展GARCH模型研究人民币对人民币汇率差的决定因素

2020 13th International Symposium on Computational Intelligence and Design (ISCID) Pub Date : 2020-12-01 DOI:10.1109/ISCID51228.2020.00019

Yonghong Zhong, Yadi Shang

{"title":"用扩展GARCH模型研究人民币对人民币汇率差的决定因素","authors":"Yonghong Zhong, Yadi Shang","doi":"10.1109/ISCID51228.2020.00019","DOIUrl":null,"url":null,"abstract":"This paper investigates determinants which impact the fluctuations of CNY-CNH exchange rate spreads after the \"8.11\" exchange rate reform in 2015. By using the extended GARCH model, the results show that global risk preference, domestic and foreign interest rate margin, the introduction of counter-cyclical factor, as well as fluctuations in the international foreign exchange market would promote the fluctuations of CNY-CNH spreads, while the future RMB expectation and liquidity of offshore market bring the inhibitory effects.","PeriodicalId":236797,"journal":{"name":"2020 13th International Symposium on Computational Intelligence and Design (ISCID)","volume":"4 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2020-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Investigating Determinants of the CNY–CNH Exchange Rate Spread Using Extended GARCH Model\",\"authors\":\"Yonghong Zhong, Yadi Shang\",\"doi\":\"10.1109/ISCID51228.2020.00019\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper investigates determinants which impact the fluctuations of CNY-CNH exchange rate spreads after the \\\"8.11\\\" exchange rate reform in 2015. By using the extended GARCH model, the results show that global risk preference, domestic and foreign interest rate margin, the introduction of counter-cyclical factor, as well as fluctuations in the international foreign exchange market would promote the fluctuations of CNY-CNH spreads, while the future RMB expectation and liquidity of offshore market bring the inhibitory effects.\",\"PeriodicalId\":236797,\"journal\":{\"name\":\"2020 13th International Symposium on Computational Intelligence and Design (ISCID)\",\"volume\":\"4 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2020-12-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"2020 13th International Symposium on Computational Intelligence and Design (ISCID)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1109/ISCID51228.2020.00019\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"2020 13th International Symposium on Computational Intelligence and Design (ISCID)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/ISCID51228.2020.00019","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}

引用次数: 0

摘要

本文研究了2015年“8.11”汇率改革后影响人民币兑人民币汇率差波动的决定因素。运用扩展的GARCH模型，结果表明，全球风险偏好、国内外利差、逆周期因素的引入以及国际外汇市场的波动都会促进人民币- cnh价差的波动，而人民币未来预期和离岸市场流动性带来抑制效应。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Investigating Determinants of the CNY–CNH Exchange Rate Spread Using Extended GARCH Model

This paper investigates determinants which impact the fluctuations of CNY-CNH exchange rate spreads after the "8.11" exchange rate reform in 2015. By using the extended GARCH model, the results show that global risk preference, domestic and foreign interest rate margin, the introduction of counter-cyclical factor, as well as fluctuations in the international foreign exchange market would promote the fluctuations of CNY-CNH spreads, while the future RMB expectation and liquidity of offshore market bring the inhibitory effects.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

2020 13th International Symposium on Computational Intelligence and Design (ISCID)

自引率

0.00%

发文量