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Analysis of RMB Exchange Rate Fluctuation Using ARMA-GARCH Model

첫 페이지 보기
  • 발행기관
    한국무역통상학회 바로가기
  • 간행물
    무역통상학회지 KCI 등재 바로가기
  • 통권
    제22권 제3호 (2022.06)바로가기
  • 페이지
    pp.25-45
  • 저자
    Fan Xiaohui, Kwang-Myung Woo
  • 언어
    영어(ENG)
  • URL
    https://www.earticle.net/Article/A415834

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원문정보

초록

영어
This paper selects central parity rate of RMB against US dollar on each trading day from January 2, 1995 to December 31, 2020 as empirical research data, takes the logarithm and then differentiates the data to obtain return series for a stable RMB exchange rate against US dollar. Descriptive statistical analysis is performed on the series, and it is concluded that distribution of the serious had obvious characteristics of "leptokurtosis and heavy tails”, compared with normal distribution. Through test of stationarity, autocorrelation and heteroscedasticity, it is confirmed that there is a phenomenon of fluctuation clustering in return series, so it is reasonable and feasible to use GARCH model to fit the return model of RMB exchange rate against US dollar. In this paper, ARMA model is established to obtain the mean equation to eliminate autocorrelation of the series. At the same time, TGARCH and EGARCH models are used to fit the asymmetric effects in return series. By comparison, it is concluded that the model with the best fitting effect is ARMA (2,1)-EGARCH (1,2) model. At the same time, it is concluded that RMB depreciation will cause a larger fluctuation in RMB exchange rate compared with RMB appreciation, which also indicates that RMB exchange rate has characteristics of volatility clustering and asymmetric effects. The feasibility of model is tested by in-sample prediction of results of the constructed EGARCH model. Finally, based on volatility of RMB exchange rate, policy recommendations such as controlling rhythm of exchange rate changes, improving RMB exchange rate system and exchange rate derivatives market are put forward.

목차

Abstract
Ⅰ. Introduction
Ⅱ. Literature Review
Ⅲ. Research Models
Ⅳ. Empirical Analysis
Ⅴ. Conclusion
References

키워드

RMB Exchange Rate Fluctuations GARCH Model Asymmetric Effect

저자

  • Fan Xiaohui [ Lecture, Economics, Weifang University of Science and Technology ] First Author
  • Kwang-Myung Woo [ Associate Professor, Department of Trade and Logistics, Mokwon University ] Corresponding Author

참고문헌

자료제공 : 네이버학술정보

간행물 정보

발행기관

  • 발행기관명
    한국무역통상학회 [Korea Research Association of International Commerce]
  • 설립연도
    2000
  • 분야
    사회과학>무역학
  • 소개
    국제무역에 관한 학술활동 1. 연구발표회 개최 2. 학술지 간행 3. 산학협동을 위한 조사 연구 4. 국제학술교류 5. 기타 학회 목적에 부합하는 사업

간행물

  • 간행물명
    무역통상학회지 [Journal of Korea Research Association of International Commerce]
  • 간기
    격월간
  • pISSN
    1738-4354
  • 수록기간
    2001~2025
  • 등재여부
    KCI 등재
  • 십진분류
    KDC 326 DDC 380

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