| After the RMB officially became a member of the IMF's special drawing right currency basket,it has been one of the hot spots in the study of China's foreign exchange market.The modern international foreign exchange market is a system of mutual integration.The five main foreign exchange assets of the RMB,including the dollar,the euro,the yen,the Hong Kong dollar and the pound,occupy the big wall of our foreign exchange market,and they often lead to the whole body.It is particularly important to study the linkage between the exchange rate of RMB.In this paper,we choose the five foreign exchange sequences of US dollar,euro,yen,Hong Kong dollar and sterling for two years before and after RMB entering the basket as the empirical research object,and fit the SV-t model to describe the marginal distribution.The corresponding structure characteristics of different decomposition methods are different.According to this data,the D rattan Copula model is used to describe the dependent structure between the new interest sequences,and the dependence of the interdependence before and after the entry of the basket is compared,and the liquidity risk value of the foreign exchange market in China is finally given.The study found that,(1)the change of foreign exchange rate of foreign exchange rate is not significant before and after entering the basket,but the fluctuation amplitude is obviously smaller after entering the basket,and it is basically maintained between-0.2 and 0.2.(2)In general,the absolute value of the Kendall correlation coefficient after entering the basket is greater than before,the exchange rate is accelerated,the elasticity increases,and the dependence increases;the flow wind after entering the basket will be increased.(3)The value of LaR is higher than that of the basket.At the same time,it also indicates that with the increase of the basket basket and the integration of international currency,the interdependence of foreign exchange will increase and the risk will increase. |
PDF Full Text Request