重大突发事件对国际外汇市场影响分析:基于英国脱欧公投事件

从外汇市场收益率、收益率波动及联动性三个维度全面考察了英国脱欧公投事件对部分世界主要汇率冲击影响全过程。首先,利用时间序列异常点诊断算法研究了公投期间汇率异常波动全过程,发现所有汇率影响显著,但人民币反应具有时滞特征,说明其国际化水平有待进一步提高。进一步,构建了刻画收益率波动的三阶段变结构GARCH模型,结果发现汇率市场异常波动和重大突发事件发生具有显著同步性特征,同时人民币汇率在公投期间波动最小。接着,通过非线性门限协整检验发现汇市之间关联性和共移性较高,公投事件对汇市联动性造成结构性改变,但市场之间依旧保持紧密均衡关系。最后,通过稳健性检验说明了模型选择及结果的合理性。

The Impact of Major Emergency on International Foreign Exchange Markets:The Case of Britain Vote to Leave the EU in the Referendum

The paper investigates the whole impact of the Britain vote to leave the EU in the referendum on British pound,Euro,Yen,Swiss franc and RMB exchange rate,according to three dimensions which refer to return,the volatility of the return and linkage.Firstly,the paper explores the whole process of exchange rate by using outliers diagnosis algorithm.The result shows Brexit have a significant impact on all of exchange rate,whereas the response of RMB have a time-delay feature.Furthermore,we construct three-stage GARCH model with variable structure to describe the volatility of the return.The result release the abnormal fluctuations of the exchange rate have a significant synchronization feature with the happen of major emergency.Next,we find that there exist high linkage between exchange rates by using nonlinear threshold co-integration test,which indicate the changed co-integration relationship caused by the Brexit.Finally,robust tests show the rationality of the selected model and results in the paper.