摘要
汇率具有价格传递效应,在当前汇率波动较大的时期,人民币汇率是否对国内大豆价格产生冲击,事关大豆市场的稳定与粮食的安全保障。本文利用EGARCH-Copula模型的回归分析发现:一是市场信息对人民币汇率波动与大豆价格收益率都存在非对称效应,正向信息冲击比负向信息冲击更容易激发投资者的热情;二是人民币汇率与大豆价格呈现明显的下尾相关性,人民币汇率的波动对大豆价格产生冲击。
The exchange rate has a price transfer effect.In the period when the current exchange rate fluctuates greatly,whether the RMB exchange rate has an impact on domestic soybean prices is related to the stability of the soybean market and the security of food.This paper uses the regression analysis of EGARCH-Copula model to find out:First,market information has an asymmetric effect on RMB exchange rate fluctuations and soybean price returns.Positive information impact is more likely to stimulate investor enthusiasm than negative information impact;Second,RMB The exchange rate and soybean prices show a significant tail-end correlation,and fluctuations in the RMB exchange rate will have an impact on soybean prices.
作者
刘江浩
袁怀宇
莫思思
Liu jianghao;Yuan huaiyu;Mo sisi(School of Economics,Central South University of Forestry and Technology;Business School,Central South University of Forestry and Technology)
出处
《金融发展评论》
2019年第11期12-23,共12页
Financial Development Review
基金
湖南省社会科学成果评审委员会课题“绿色金融发展促进湖南产业升级的评价与优化机制”基金项目(项目编号:XSP19ZDI023)的资助
作者简介
通讯作者:刘江浩,硕士研究生,中南林业科技大学经济学院。E-mail:1906191856@qq.com;袁怀宇,经济学博士,教授,中南林业科技大学经济学院;莫思思,硕士研究生,中南林业科技大学商学院。
