同济大学学报（自然科学版）2024，Vol.52Issue(4)：637-646,10.DOI:10.11908/j.issn.0253-374x.22260
跨境资本与人民币汇率的非对称波动耦合效应
Asymmetric Fluctuation Coupling Effect of Cross-border Capital Flows and RMB Exchange Rate
摘要
Abstract
This paper aims at investigating the asymmetric fluctuation coupling effect of cross-border capital flows and RMB exchange rate through two dimensions of industrial capital flows and financial capital flows.The result shows that both capital flows(industrial and financial capital flows)and the exchange rate have a significant continuous and clustering fluctuation.Besides,there are differential asymmetric fluctuation coupling effects between the two types of capital flows and the exchange rate.This paper proposes policy recommendations such as giving priority to introducing policy arrangements for coping with industrial capital outflows risks,improving the framework for administration featuring"macro-prudential management plus micro-supervision"and reducing the overshooting risk of foreign exchange market,and building a buffer zone for capital flows by improving the RMB offshore transactions.关键词
跨境资本流动/汇率/波动溢出/非对称耦合效应/向量误差修正‒广义自回归条件异方差‒非对称BEKK模型Key words
cross-border capital flows/exchange rate/volatility spillover/asymmetric coupling effect/VECM-GARCH-ABEKK分类
管理科学引用本文复制引用
金政,李湛,胡文伟..跨境资本与人民币汇率的非对称波动耦合效应[J].同济大学学报（自然科学版）,2024,52(4):637-646,10.基金项目
国家社会科学基金(21FJLB014) （21FJLB014）
上海市哲学社会科学规划课题(2023ZJB007) （2023ZJB007）
