基于Copula的美元、欧元和日元汇率相关性分析
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Correlation analysis of RMB exchange rate against Yen,Dollar and Euro respectively based on Copula function
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    摘要:

    根据2005年7月25日至2010年4月15日间,美元、欧元和日元分别兑人民币汇率中间价的变化规律,选取阿基米德Copula函数族中的Gumbel Copula函数和Clayton Copula函数进行Kendall相关性分析,利用尾部相关性指标对美元、欧元和日元兑人民币的日对数回报进行对比。研究结果表明,美元兑人民币汇率中间价的变化与欧元、日元兑人民币的中间价的变化均呈负相关关系,而欧元兑人民币汇率与日元兑人民币汇率的中间价的变化呈正相关关系。因此,在美国政府对人民币汇率政策施压的背景下,美元兑人民币汇率政策若向人民币升值的方向倾斜,欧盟与日本的利益将受到负向影响。

    Abstract:

    The Gumbel Copula functions and Clayton Copula function of the Archimedean-Copula Functions were selected for the Kendall correlation analysis based on the data of Central parity rate of RMB exchange rate against yen,dollar and euro respectively from July 25,2005 to April 15,2010.And the log-daily returns of the U.S.dollar,the euro and the Japanese yen against the RMB were contrasted by the index of tail dependence.The results show that the U.S.dollar against the RMB exchange rate has a negative correlation with the euro and the yen,while the euro positive correlation with the yen.Therefore,if the exchange rate policy of the U.S.dollar against the RMB turns to the direction of RMB appreciation in the environment that U.S.government puts pressure on the RMB exchange rate,the interests of European Union and Japan will decrease.

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李占雷,李学师,程洁.基于Copula的美元、欧元和日元汇率相关性分析[J].河北工程大学自然版,2011,28(1):72-75

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  • 收稿日期:2010-11-26
  • 在线发布日期: 2015-01-12
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