Exchange Rate Market Of Currencies Against RMB In ASEAN Countries Dependent Structure

Chinese one belt,one road,has been increasing economic and trade cooperation between China and other countries.The international status of China's renminbi has been further improved.In 2020,the trade volume between China and ASEAN countries exceeded US $500 billion,which increased the exchange rate risk between the two currencies to a certain extent.Therefore,the study of the exchange rate dependence structure of ASEAN currencies against RMB is very important for China's RMB monetary and financial risk supervision.This paper explores the exchange rate changes among ASEAN countries in recent years from the perspective of the interdependence between the two sides of the currency exchange rate market and the overall dependency structure.The daily exchange rate data of ASEAN countries' currencies against RMB from 2016 to 2020 are selected as the research object.Firstly,the GARCH family model is adopted to combine the marginal distribution of the exchange rate market to obtain the best GARCH model.On this basis,a variety of time-varying Copula models are used to analyze and explore the tail dependence between exchange rate markets,and then the most appropriate timevarying Copula model is selected.Finally,vine Copula model is selected to describe the dependence structure of exchange rate market and analyze the risk transmission mechanism.The empirical results show that: for the static correlation between two exchange rate markets,the fitting effect of static normal Copula function is the best,and there is a certain static correlation among most ASEAN countries;In terms of the dynamic correlation between exchange rate markets,the correlation between most countries is affected by major international events;In terms of market tail dependence,the lower tail correlation coefficient is slightly greater than the upper tail dependence coefficient,indicating that the impact of bad news on the exchange rate market is slightly greater than that of bad news;In terms of the overall market dependence,the fitting effect of R-vine structure is the best.In addition,there are differences in risk transmission capacity among countries in R-vine structure.There are two main innovations in this paper.First,at present,most scholars are keen on the exchange rate of other countries' currencies against the US dollar,and few people study the exchange rate of other countries' currencies against the RMB.However,with the rapid development of China's economy,the status of RMB has become prominent.It is very necessary to study the exchange rate of other countries' currencies against RMB;Second,most scholars only study the dependence between the two asset markets,and do not explore the exchange rate of the ten ASEAN countries from a diversified and dynamic perspective.Therefore,based on the Copula model,this paper studies the currency exchange rate transmission mechanism among the ten ASEAN countries,analyzes the overall dependent structure of the ASEAN exchange rate market,and looks for the countries in the center of the exchange rate structure.