On the Volatility Transmission Effect of RMB Exchange Rate with the Currencies of Developed and Emerging Markets
利用8个国家和地区货币兑瑞士法郎的日汇率数据，构建BEKK-MGARCH模型，研究人民币汇率在近10年和汇改后两个时期与发达及新兴市场货币的波动传导效应。
In this paper,we take the developed and emerging markets including 8 countries and regions' daily exchange rate against the Swiss franc to construct BEKK - MGARCH model and study the RMB cross markets exchange rate volatility transmission effect with developed and emerging markets during two periods of recent 10 years and after RMB exchange rate reform.It is found the RMB and the U.S.dollar has a significant interaction volatility transmission effect.After the exchange rate reform in China,the RMB exchange rate has a stronger volatility transmission effects.Except for the euro,RMB exchange rate directly transmits volatility to the U.S. dollar,yen and British pound exchange rate significantly.In the model constructed by the BRICs countries currencies, whether in the past decade or after the foreign exchange reform in China,compared with other currencies in the BRICs countries ? RMB has a stronger volatility effects.However,except for ruble,the other BRICs countries currencies' volatility transmission effect against the RMB exchange rate is not significant.Finally,the paper discusses the suggestions based on the RMB exchange rate volatility transmission effect.