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基于CAViaR模型的汇率隔夜风险研究

, PP. 17-24

Keywords: 条件自回归分位数风险价值,汇率市场,隔夜风险

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Abstract:

?针对目前缺乏美元当日汇率对其他汇率市场隔夜风险影响的研究,本文在CAViaR模型中的AS模型和SAV模型基础上提出隔夜-AS模型和隔夜-SAV模型来测量汇率隔夜风险,并对日元汇率,人民币汇率和港币汇率2009年到2014年的数据进行实证分析,研究结果表明隔夜-AS模型和隔夜-SAV模型均优于AS模型和SAV模型,且隔夜-AS模型又优于隔夜-SAV模型。这三个汇率的隔夜风险均受到滞后风险的影响,且人民币汇率所受滞后风险最大,美元指数的波动都将加大这三个汇率市场的隔夜风险,美元对日元和港币汇率的冲击大于对人民币汇率的冲击,美元走弱对这三个市场隔夜风险影响大于美元走强所带来的影响,这些都为我国汇率隔夜风险的管理提供了新的方法和思路。

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