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Title: 中國人民幣與亞洲四小龍貨幣的無本交交割遠期外匯之動態相關係數分析
Volatility Transmissions between Renmibi and Four Asian Tigers Non-Delivery Forward Markets
Authors: 吳俊伯
Wu,Chun Po
Contributors: 毛維凌
Mao, Wei Lin
Wu,Chun Po
Keywords: 無本金交割匯率
CCC 檢定
Date: 2008
Issue Date: 2009-09-19 13:40:49 (UTC+8)
Abstract: 近年來,中國的經濟表現受眾人稱羨之餘,實質固定匯率政策卻為人所詬病。然而,中國人民銀行於 2005 年 7 月 21 日公告一套以市場供需為基準的管理浮動匯率制度後,人民幣遂開始逐步升值並連帶地牽動亞洲其他國家幣值變化。為瞭解人民幣變動對亞洲四小龍國家幣值的外溢效果,本文利用動態條件相關係數模型,透過人民幣和亞洲四小龍貨幣的無本金交割遠期外匯分析相關係數。最後發現,人民幣和四小龍貨幣間存在不同程度的正相關,且此動態相關性自 2008 年起日與俱增。
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