The Sovereign Risk of Official Intervention: the Volatility Relationship between EUD and RMB
學年 99
學期 2
出版（發表）日期 2011-07-01
作品名稱 The Sovereign Risk of Official Intervention: the Volatility Relationship between EUD and RMB
作品名稱（其他語言）
著者 李沃牆; Lee, Wo-chiang; 方鏘傑; Fang, Chiang-jye
單位 淡江大學財務金融學系
出版者 Mahe: EuroJournals Publishing
著錄名稱、卷期、頁數 International Research Journal of Finance and Economics 69, pp.7-18
摘要 We provide new evidence regarding the shock effects of the PBC intervention in the FX market by comparing the volatility of exchange rate of Euro dollar (EUD) and Chinese Ranminbi (RMB) against the US dollar (USD) and showing policy interference of Chinese the exchange rate system. Firstly we model the ARMAX-GJR-GARCH equation to reexamine interest parity theory and find the structure break of the exchange rate of the RMB then we set up our new Copula-ARMAX-GJR-GARCH model by using daily exchange rate of EUD and RMB against USD during the period from January 2005 to March 2010. The result provides the very important information that we prove the sovereign risk of official intervention and political influence economy. Our new research also contributes to examine a discrepancy between the exchange rate system of EU and China for risk managers in financial institutions.
關鍵字 Exchange Rate; Copula; ARMAX-GJR-GARCH
語言 en_US
ISSN 1450-2887
期刊性質 國外
收錄於
產學合作
通訊作者
審稿制度
國別 SYC
公開徵稿
出版型式 紙本
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