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亚洲金融危机首先爆发在各国的汇市上。危机过后多年,亚洲汇市的波动与危机前的状况有实质性改变吗?本文运用GARCH模型比较了亚洲各国及地区(韩国、泰国、台湾地区、新加坡、日本、印度、马来西亚和中国)汇市波动变化并进行了排序。实证结果表明,亚洲危机后各国汇市波动的方差扩大,冲击的影响在汇市上持续时间也有所延长。其原因是亚洲各国汇市的联动增加了。为了确保在第三国市场的份额,各国都在频繁调整和干预本国汇市。
The Asian financial crisis first broke out in foreign exchange markets in various countries. After years of crisis, the volatility of the foreign exchange market in Asia has changed substantially from the pre-crisis situation. This article uses the GARCH model to compare the changes in foreign exchange markets in Asian countries and regions (Korea, Thailand, Taiwan, Singapore, Japan, India, Malaysia and China) And sorted. The empirical results show that after the Asian crisis, the volatility of the foreign exchange markets in all countries widened. The impact of the shocks also lasted longer in the foreign exchange market. The reason for this is that the linkage between currencies in Asian countries has increased. In order to ensure a third-country market share, all countries frequently adjust and intervene in their foreign exchange markets.