两岸三地汇率联动性研究
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摘要
鉴于两岸三地(或称大中华区)经贸政策日益开放、经贸活动益加频繁,汇率的角色举足轻重。所以,本文的主要研究动机是两岸三地的汇率联动性是否因政经体制及时空变化而有不同的程度差异?尤其是人民币汇改前后,台币对港币、港币对人民币、台币对人民币之间的相关程度如何?过去的相关文献并未特别针对两岸三地汇率的动态关联进行分析。在实证方法上,本文有别于以往应用时间序列模式的分析模式,另考虑以Copula关联函数为基础的GARCH模型来探讨汇率之动态联动关系。
本文以两岸三地的汇率及总体相关变量进行实证。结果发现：透过双变量CCC-GARCH及DCC-GARCH模型评估两岸三地间汇率报酬率的变异数波动性外溢效果,在全样本看来,两岸三地间的汇率变动相关程度并不高；但若以人民币汇改前后比较,则确定呈现差异性：汇改前,相关程度不高；但汇改后,人民币与台币相关程度明显提高了,但人民币汇率与港币汇率相关性仍不明显。
此外,在Copula相关结果分析方面,由全样本的Copula分布图看来,二岸三地间的汇率平均列相关系数并不高。但若区分为汇改前后比较,依然是汇改后比较高。另外透过Pearson相关矩阵亦可看出,人民币与港币在汇改后相关程度低于台币与人民币。透过五种静态Copula函数,包括Normal Copula, Student Copula,Clayton Copula,Gumbel Copula及Frank Copula发现,在全样本及汇改前期间,二岸三地间的汇率变动相关程度均不高。但人民币汇改后,二岸三地的汇率变动相关程度也明显提高了。另一方面,由Copula的传染效果检定可看出,人民币对台币或人民币对港币在汇改后具有显着的传染效果。意涵人民币汇率政策的调控对台币及港币具有影响力。
在前面研究结果的基础上,论文进一步讨论了蔓延机率,旨在检视当不同的正、负向消息冲击时的蔓延效果有何差异。结果表明,正向及负向冲击的影响机率是有显着差异的。进一步来说,即当汇改后,人民币对港币的冲击影响明显较全样本或汇改前为大。
最后,就政策上的意涵,本文的研究结果可供两岸三地央行做为汇率政策的参考。尤其是台湾与香港地区,因为规模远较中国大陆为小,受其汇率政策调控的冲击较大。
The role of exchange rate is getting important, through the China, Taiwan, and Hong Kong (hence Greater China area.) increasingly open trade policies and economic and trade activities. Therefore, the motivation of this dissertation is to discuss whether the linkage between the exchanges rate regime and due to political and economic changes in different spatial and temporal differences? Especially before and after the change of RMB exchange reform, how the degree of correlation between New Taiwan Dollar (NT) for Hong-Kong Dollar (HK), against Ranminbe (RMB), and the NT to RMB? Due to the past literature does not discuss the dynamic correlation of exchange rate among the Greater China area. Our empirical study is different from the previous application of time-series pattern analysis mode; we further consider the static and dynamic Copula correlation function based GARCH model to investigate the linkage between the exchange rate dynamics.
In our empirical study, we apply the Greater China area's exchange rates data and the macro economics variables and found that through bivariate CCC-GARCH and DCC-GARCH model to evaluate spillover effect of the variance of returns volatility between the Greater China area. It appears that the exchange rate movement is not high degree of correlation in full sample. But it has a significant difference before and after the RMB exchange reform. The correlation is lower before the exchange rate reform, but the RMB and NT relevance significantly improved after the exchange reform. The RMB exchange rate and the Hong Kong dollar exchange rate is not high correlation.
In addition, the Copula scatter plot analysis result from the full sample reveals that the average rank correlation between the Greater China area is not high. However, if the area is divided into before and after the exchange rater reform, after the reform is still relatively high. Also can be seen through the Pearson correlation matrix. The correlation between RMB and Hong Kong dollars is lower than NT dollar and RMB after the exchange rate reform.
Through five kinds of static Copula functions, including Normal Copula, Student Copula, Clayton Copula, Gumbel Copula and Frank Copula, we can found that in full sample and before the reform period, the exchange rate movements between Greater China area are not high degree of correlation. However, the correlations have a significantly increase after the RMB exchange rate reform.
On the other side, the contagion effect test results show that the RMB against the NT dollar or RMB against the Hong Kong dollar has a significant effect after the exchange rate reform. It implies that the change of RMB exchange rate policy will affect the NT and HK dollar.
In final, we discuss the contagion probability. The probability analysis aims at the difference of contagion effect when has a positive and negative new impact. We can see the results for the empirical results; the positive and negative shocks will make a significant difference. Further to said, the shock of RMB against the Hong Kong dollar is more significantly higher than the full sample or before the reform. Finally, policy implications reveal that the results can provide the central bank of Greater China area as a reference in exchange rate policy. Especially Taiwan and Hong Kong, because of the small size than mainland China, it will suffer a great impact as China's exchange rate policy regulation change.
本文以两岸三地的汇率及总体相关变量进行实证。结果发现：透过双变量CCC-GARCH及DCC-GARCH模型评估两岸三地间汇率报酬率的变异数波动性外溢效果,在全样本看来,两岸三地间的汇率变动相关程度并不高；但若以人民币汇改前后比较,则确定呈现差异性：汇改前,相关程度不高；但汇改后,人民币与台币相关程度明显提高了,但人民币汇率与港币汇率相关性仍不明显。
此外,在Copula相关结果分析方面,由全样本的Copula分布图看来,二岸三地间的汇率平均列相关系数并不高。但若区分为汇改前后比较,依然是汇改后比较高。另外透过Pearson相关矩阵亦可看出,人民币与港币在汇改后相关程度低于台币与人民币。透过五种静态Copula函数,包括Normal Copula, Student Copula,Clayton Copula,Gumbel Copula及Frank Copula发现,在全样本及汇改前期间,二岸三地间的汇率变动相关程度均不高。但人民币汇改后,二岸三地的汇率变动相关程度也明显提高了。另一方面,由Copula的传染效果检定可看出,人民币对台币或人民币对港币在汇改后具有显着的传染效果。意涵人民币汇率政策的调控对台币及港币具有影响力。
在前面研究结果的基础上,论文进一步讨论了蔓延机率,旨在检视当不同的正、负向消息冲击时的蔓延效果有何差异。结果表明,正向及负向冲击的影响机率是有显着差异的。进一步来说,即当汇改后,人民币对港币的冲击影响明显较全样本或汇改前为大。
最后,就政策上的意涵,本文的研究结果可供两岸三地央行做为汇率政策的参考。尤其是台湾与香港地区,因为规模远较中国大陆为小,受其汇率政策调控的冲击较大。
The role of exchange rate is getting important, through the China, Taiwan, and Hong Kong (hence Greater China area.) increasingly open trade policies and economic and trade activities. Therefore, the motivation of this dissertation is to discuss whether the linkage between the exchanges rate regime and due to political and economic changes in different spatial and temporal differences? Especially before and after the change of RMB exchange reform, how the degree of correlation between New Taiwan Dollar (NT) for Hong-Kong Dollar (HK), against Ranminbe (RMB), and the NT to RMB? Due to the past literature does not discuss the dynamic correlation of exchange rate among the Greater China area. Our empirical study is different from the previous application of time-series pattern analysis mode; we further consider the static and dynamic Copula correlation function based GARCH model to investigate the linkage between the exchange rate dynamics.
In our empirical study, we apply the Greater China area's exchange rates data and the macro economics variables and found that through bivariate CCC-GARCH and DCC-GARCH model to evaluate spillover effect of the variance of returns volatility between the Greater China area. It appears that the exchange rate movement is not high degree of correlation in full sample. But it has a significant difference before and after the RMB exchange reform. The correlation is lower before the exchange rate reform, but the RMB and NT relevance significantly improved after the exchange reform. The RMB exchange rate and the Hong Kong dollar exchange rate is not high correlation.
In addition, the Copula scatter plot analysis result from the full sample reveals that the average rank correlation between the Greater China area is not high. However, if the area is divided into before and after the exchange rater reform, after the reform is still relatively high. Also can be seen through the Pearson correlation matrix. The correlation between RMB and Hong Kong dollars is lower than NT dollar and RMB after the exchange rate reform.
Through five kinds of static Copula functions, including Normal Copula, Student Copula, Clayton Copula, Gumbel Copula and Frank Copula, we can found that in full sample and before the reform period, the exchange rate movements between Greater China area are not high degree of correlation. However, the correlations have a significantly increase after the RMB exchange rate reform.
On the other side, the contagion effect test results show that the RMB against the NT dollar or RMB against the Hong Kong dollar has a significant effect after the exchange rate reform. It implies that the change of RMB exchange rate policy will affect the NT and HK dollar.
In final, we discuss the contagion probability. The probability analysis aims at the difference of contagion effect when has a positive and negative new impact. We can see the results for the empirical results; the positive and negative shocks will make a significant difference. Further to said, the shock of RMB against the Hong Kong dollar is more significantly higher than the full sample or before the reform. Finally, policy implications reveal that the results can provide the central bank of Greater China area as a reference in exchange rate policy. Especially Taiwan and Hong Kong, because of the small size than mainland China, it will suffer a great impact as China's exchange rate policy regulation change.
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