基于高频面板数据的人民币汇率波动规律研究

基于2006—2013年的1771个人民币汇率日值高频数据，采用 GARCH 模型对人民币与美元、港币、日元、欧元及英镑之间的汇率波动规律进行实证分析。结果显示：（1）人民币兑五大外汇币种汇率的波动存在 ARCH 效应，其收益表现出明显的群聚特征；（2）人民币兑五大外汇币种汇率的波动均具有一定的记忆性，但除港币和日元外，大都会随时间缓慢衰减；（3）人民币兑五大外汇币种汇率的波动存在明显的杠杆效应，但不同币种对人民币升值的反应存在一定的差异。

Dynamic Effects of RMB Exchange Rate Fluctuation Based on High-Frequency Panel Data

By using the GARCH model based on the high frequency data of 1771 RMB exchange rate during the period of 2006-2013,an empirical study on the fluctuations of RMB exchange rate against USD,HKD,JYP,EUR and GBP was conducted.The results show that:(1 )the fluctuations of RMB exchange rate convert five large foreign currency exist ARCH effects,and its earnings show ob-vious cluster feature;(2)the volatility of the RMB convert five foreign currency exchange rate has a memory,but in addition to HKD and JPY,the memory will show slow decay as time goes by;(3)the fluctuations of the RMB against five foreign currency exchange rate have obvious lever effect,but there are some differences of reaction to RMB appreciation in different foreign currencies.