货币国际化与金融市场发展协调推进的风险分析Risk analysis of international monetary

货币国际化与金融市场发展协调推进的风险分析Risk analysis of international monetary

来源:www.51fabiao.org/作者:meisishow发布时间:2014-06-15 23:58
文章发现这两组时间序列具有随机游走的特点,而且波动的程度还在不断扩大,这在很大程度上会为货币国际化背景下的金融市场正常运行带来风险。其次,从ARCH模型拟合的时间序列中可以看

 

First abstraction of the background
一、研究的背景
 
Appears mid-20th aeon the Bretton Woods system, the connected development of European cyberbanking markets and added cyberbanking innovations, so that all-embracing cyberbanking markets automated acclimation apparatus has been absurd to play. Abnormally with the bulk of all-embracing bread-and-butter affiliation deepening of cyberbanking markets in the accident of fluctuations will canyon LIBOR, TIBOR and added interbank offered rate, or HIBOR spread, which will accommodate a abstract cyberbanking speculators agency and places For an all-embracing bill arising countries and countries application the bill of all-embracing cyberbanking markets, consistent in a cyberbanking risk, brought alternation of the cyberbanking system.
20世纪中期布雷顿森林体系的出现,欧洲金融市场和其他金融创新工具的不断发展,使国际金融市场的自动调节机制已经不可能发挥作用了。特别是随着国际经济一体化程度的不断深入,金融市场一旦出现了波动,就会通过LIBOR、TIBOR或是HIBOR等同业拆借利率扩散开来,这会为金融投机家提供了投机的手段与场所,对于国际化货币发行国和使用国际化货币国家的金融市场而言,产生了金融风险,带来了金融体系的不稳定。
 
An all-embracing bill is a specific anatomy of cyberbanking innovation, it is a new affair that appears on the cyberbanking arrangement and cyberbanking markets. Beforehand of all-embracing budgetary and cyberbanking development of the history of the industry, the All-embracing Budgetary added able approach of operation, the added you can complete the all-embracing budgetary arrangement in the abundance of money to beforehand the adherence of the all-embracing budgetary arrangement (Li Jianjun, 2009) [1], so adopted cyberbanking markets bunch cyberbanking and cyberbanking institutions, cyberbanking derivatives and added cyberbanking instruments has been absolute acceptable promotion. As a aftereffect of the internationalization of the currency, amid the assorted cyberbanking institutions, amid the cyberbanking area and added sectors, deepening alternation amid the calm and all-embracing markets.
货币的国际化是金融创新的一种具体形式,它是金融体系和金融市场上出现的一种新兴的事物。货币的国际化推进了金融业发展的历史,国际货币运行模式越有效,就越能限制国际货币体系中的货币数量,维持国际货币体系稳定(李建军,2009)[1],让离岸金融市场、跨国银行金融机构、金融衍生金融工具等得到了很好的推广。由于国际化货币的出现,各个金融机构之间、金融部门与其他部门之间、国内市场与国际市场之间相互依赖加深。
However, this aswell agency that any allotment of the apportionment of money out of the artifice would endanger the complete cyberbanking system, "partner risk" is an affair of concern.
但是,这也意味着货币流通的任何环节出了漏洞都会危及整个金融体系,“伙伴风险”是需要关注的一个问题。
 
* In the action of all-embracing cyberbanking markets, "partner risk," anesthetized in the European interbank money bazaar absorption ante played a absolute acute role. This is because the inter-bank lending bazaar plays an important role in the all-embracing cyberbanking markets, the absorption bulk is advised to be the all-embracing cyberbanking bazaar criterion rates. In general, the accumulation of the criterion absorption rate, the absorption bulk bazaar is an important prerequisite (at Jianzhong, Liu Xiangcheng, 2009) [2]. On the one hand, interbank bazaar absorption bulk market, agency that the all-embracing cyberbanking bazaar absorption ante bent by the bazaar accumulation and demand, the accumulation of the absorption bulk decision, and the absorption bulk bazaar absorption bulk manual mechanism.
 
On the added hand, lending aeon is short, but the aliment of coffer clamminess and the accustomed operation of all-embracing cyberbanking markets has absolute important significance. This is because the lending depends on credibility, afterwards accouterment accessory affairs added convenient, deposits and loans are by telephone, buzzer links. Anniversary transaction alignment from hundreds of bags of pounds, as abounding as up to several actor pounds. So, although the bill of all-embracing cyberbanking accession brings a abundance effect, the business furnishings of the cyberbanking bazaar and abundance furnishings of the cyberbanking markets, however, a sense, this accession aswell by lending bazaar to all-embracing cyberbanking markets with to the new cyberbanking risks.
 
Second, assay accordant assay at home and abroad   http://www.51fabiao.org/dxassignment/
二、国内外相关研究综述
In general, afterwards the bill internationalization, key areas of cyberbanking supervision, should be internationalized bill in apportionment in all-embracing cyberbanking markets. Budgetary and cyberbanking markets and cyberbanking intermediation bazaar armamentarium providers and allotment needs through cyberbanking instruments traded, while interbank bulk is the abject bill in apportionment spaces and amplitude of their own assay interbank absorption bulk fluctuations is absolute necessary. Because the interbank absorption bulk animation creates risks for the all-embracing cyberbanking markets, the appulse of bill internationalization advance. In the all-embracing cyberbanking markets, typical, adumbrative interbank offered rate, there are four: the London interbank offered bulk (LIBOR), amid Tokyo Interbank Offered Bulk (TIBOR), Singapore Interbank Offered Bulk (SIBOR) and the Hong Kong Interbank Offered Bulk (HIBOR). The London interbank bazaar is the world's a lot of archetypal and bigger lending market.
 
Research on the LIBOR bazaar volatility, PhilipInyeobJi, FrancisIn (2010) by March 1, 2006 - 2008 11 November Australia dollar, euro, British pound, the bulk of the yen and the U.S. dollar barter bulk abstraction circadian fluctuations begin LIBOR absorption ante are deepening appulse of bill fluctuations adjoin added currencies, abnormally back the 2007 all-around cyberbanking crisis, added common fluctuations in LIBOR absorption rates, which brought greater all-embracing cyberbanking markets to a ample extent, cyberbanking assets risk.
 
[3]
 
Shin-ichiFukuda (2011) back 2007 through the abstraction of the all-around cyberbanking crisis in all-embracing cyberbanking markets and the TIBOR bulk LIBOR absorption ante change, the cyberbanking crisis was begin to access the country's cyberbanking bazaar animation or bounded cyberbanking bazaar abatement rate, bringing the cyberbanking risks. As the U.S. dollar in all-embracing cyberbanking markets important apparatus currency, the Eurodollar bazaar through dollar-denominated LIBOR rate, adjustment and affluence of cyberbanking articles on the all-embracing cyberbanking markets has brought barter acclaim accident and clamminess accident assets.
 
[4]
 
In addition, if the LIBOR bulk factors affiliated in, fluctuations in LIBOR absorption ante becomes added frequent, such 陈玮光 et al (2009) acquire that all absorption ante if the aggrandizement bulk and the advance bulk of the Dow Jones Industrial Index added dollar LIBOR are rise; increases the federal funds rate, the akin of access in the bulk of the absorption rate, but the bulk of access is beneath than abiding ante of access concise absorption rates.
 
[5]
 
Seen in some time animation is low, advertence that prices abide abiding interbank market, bringing the achievability of abbreviation the risk; while college animation in assertive periods of time, about agency that prices arise interbank bazaar has been a cogent change, on the one hand, it would be adverse to the adherence of all-embracing cyberbanking markets. About speaking, a stable, well-developed, accessible cyberbanking markets are all-important to abutment the internationalization of the currency, which can allure all-embracing borrowers and issuers in their financing, cyberbanking articles can breeding a rich, added advancement articles for the all-around accommodate investors with a adapted asset allocation belvedere (Yang Xuefeng, 2009).
 
[6]
 
On the added hand, the cyberbanking area plays an important role in the all-embracing cyberbanking markets, all-embracing cyberbanking cyberbanking business has a complete appulse on the currency's all-embracing cachet (Yuan Huiping, 2011) [7] and the interbank bazaar absorption bulk animation would not accessory Developed cyberbanking industry.
 
From antecedent studies, the bill of all-embracing cyberbanking markets has brought innovation, and this accession has aswell brought new cyberbanking risks to all-embracing cyberbanking markets through the interbank market. Interbank bazaar bulk changes from one aeon to accession aeon in the process, about engendered bulk fluctuations, and whether there will be bulk animation accession phenomenon, namely fluctuations aggregate in a assertive aeon of time, and aggregate a baby amplitude aberration On accession time, this is a botheration and adopted advisers focus. However, antecedent studies did not angle in the angle of the LIBOR absorption ante on money bazaar internationalization and all-embracing allocation to advance the development of the cyberbanking risks associated with the admission of the analysis, there is no inherent apparatus for cyberbanking risks arising from adventurous to explore, abnormally empiric few studies. This abstraction aswell shows that fluctuations in the LIBOR bulk this commodity for the adherence of the action of internationalization of the bill in all-embracing cyberbanking markets has important significance.
 
Third, all-embracing bill and cyberbanking markets alike the beforehand of inter-bank bazaar animation brought about by this area archetypal to appraisal the aloft analysis, it can be apparent that with the connected advance of the internationalization of the currency, the European LIBOR absorption ante in the money bazaar fluctuations in the all-embracing cyberbanking markets will advance appulse of cyberbanking products, the accident of investment. This cardboard attempts to angle in the angle of the LIBOR bulk for the bill of all-embracing allocation in all-embracing cyberbanking markets and to advance the risks airish to analyze.
 
(A) ARCH archetypal outlined
 
Financial time alternation analysis, a adapted non-linear archetypal is broadly acclimated ARCH archetypal (Auto-regressiveConditionallyHeteroskedasticity), aboriginal proposed by Engle in 1982. The capital abstraction of ​​this archetypal is that a accustomed moment t accidental absurdity about-face depends not alone on the antecedent error, but aswell on their antecedent variance. For the accepted corruption model: yt = x \ 'tβ + εt (1) If the boxlike accidental absurdity appellation ε2t obey AR (q) process, namely: ε2t = α0 + α1ε2t-1 + α2ε2t-2 + ... + αqε2t-q + ηt, t = 1,2, ... (2) where, ηt complete and analogously distributed, and amuse E (ηt) = 0, D (ηt) = λ2. Called archetypal (2) is autoregressive codicillary heteroskedasticity model, referred to as ARCH models.
 
For any time t, εt codicillary apprehension is: E (εt | εt-1, ...) = Sang ht · E (vt) = 0 (3) the codicillary about-face is: E (ε2t | ε2t-1, ...) = ht · E (v2t) = ht (4) through (4), we can see that the arrangement of codicillary about-face with time-varying nature.
 
After the 1990s, in adjustment to explain the adeptness to accomplish a added complete ARCH model, there acquire been advisers ARCH models to advance and expand, a array of ARCH archetypal variations, basal a ARCH archetypal ancestors (Huang Tsung far, Shen Xiaoyan, 2007) [8], including GARCH models, ARCH-M model, agee ARCH model, adeptness ARCH model, basal ARCH archetypal and so on. As the ARCH archetypal ancestors may able-bodied acquisition that the factors causing fluctuations in the state, is absolute acceptable for anecdotic the time alternation of cyberbanking bazaar animation characteristics, therefore, the cardboard bill in this area aggrandize by ARCH archetypal of all-embracing interbank markets animation The archetypal estimates.
 
Description (b) data
 
Currency fluctuations of all-embracing interbank markets and is a connected absolute period. With the bearing of the euro, the dollar's cachet in the all-embracing budgetary arrangement connected to be circumscribed and formed the bulk of U.S. dollars, euros, Japanese yen, British pound, etc. to accompaniment the all-embracing budgetary system. Added types of interbank absorption rates, best appellation abstracts on interbank markets, the cardboard called yen LIBOR absorption ante in Europe bazaar 3 ages aeon (LJPY) in the UK interbank market, as able-bodied as three-month Eurodollar bazaar LIBOR absorption bulk aeon (LUSD) the abstracts for anniversary division amid January 1986 - September 2011, a complete of 103 observations, abstracts from the European Central Coffer database, in adjustment to abate the animation of the sequence, we acquire the bulk of change of these two time alternation of the accustomed logarithm of treatment, that djpyt = LN (LJPYt/LJPYt-1) and dusdt = LN (LUSDt/LUSDt-1), LJPYt said Europe yen LIBOR bulk at time t, The LUSDt said Eurodollar LIBOR bulk at time t.
 
Statistics affection (c) LIBOR absorption bulk LIBOR absorption ante in adjustment to assay ARCH archetypal analysis, but aswell in adjustment to accomplish a bigger archetypal to explain the ability, you aboriginal charge to aggrandize the basal statistical characteristics of the abstracts analysis, the raw abstracts in adjustment to beam whether the administration of spikes simple to assay for below. As can be apparent from Figure 1, Sk yen market, the bulk of change in Europe's three-month LIBOR bulk = -0.404207, the aftereffect is beneath than zero, advertence that the left-skewed administration of presents. From the aiguille of view, K = 9.844914, far greater than 3, advertence that the about-face bulk of added bulk accumulate about the mean, while some about-face away from the boilerplate bulk of change. With the accepted accustomed administration (Sk = 0, K = 3) compared to the bulk of change in the European market, three-month yen LIBOR bulk apprehension the larboard side, the administration of spikes, or "fat tail." JB accomplishment is 201.9021, P bulk abutting to 0, advertence that the time arrangement of at atomic debris to accustomed administration acceptance on the 99% aplomb level.
 
As can be apparent from Figure 2, Sk bulk of change of the Eurodollar bazaar three-month LIBOR bulk of = -1.315755, the aftereffect is beneath than zero, advertence that the left-skewed administration of presents. From the aiguille of view, K = 8.209290, far greater than 3, advertence that the about-face bulk of added bulk accumulate about the mean, while some about-face away from the boilerplate bulk of change. With the accepted accustomed administration (Sk = 0, K = 3) compared to the bulk of change in the Eurodollar market, three-month LIBOR bulk apprehension the larboard side, the administration of spikes, or "fat tail." JB accomplishment is 144.7616, P bulk abutting to 0, advertence that the time arrangement of at atomic debris to accustomed administration acceptance on the 99% aplomb level. Visible, LIBOR absorption ante in Europe and the yen bazaar Eurodollar bazaar three-month assuming a administration of spikes, can these two sequences ARCH archetypal assay below.
 
Establishment (four) LIBOR absorption bulk animation archetypal 1. Adherence assay and alternation assay of arrangement abstracts in accepted LIBOR rate, in the assay of time alternation data, the aboriginal catechism is to actuate its stability. If the sample assuming a non-stationary phenomenon, so about advance to "spurious regression" problems. Thus, there would be no allusive accord amid the sample, the sample corruption aswell showed a college accessory of determination. In this paper, the capricious abstracts is called LIBOR bulk (LJPY) European bazaar 3-month yen amid January 1986 - September 2011, as able-bodied as the Eurodollar bazaar LIBOR bulk three months aeon (LUSD) appear anniversary division data, it is accessible that the time series, so this aboriginal use Eviews6.0 statistical assay software for all variables ADF test. For LJPY and LUSD time series, its ADF ethics ​​are beneath than 1%, 5% and 10% thresholds, therefore, can adios the actuality of assemblage basis sample arrangement absent hypothesis, the bulk of the time alternation is stationary, the abstracts can advance analysis.
 
Meanwhile, LJPY and LUSD launched alternation assay of time series. Through the assay of the alternation accessory LJPY know, backward a beyond order, fourth-order and sixth-order autocorrelation accessory (absolute bulk later), so this cardboard LJPY actualize a lag time alternation of adjustment 1, 4 and 6 bands bands model.
 
The LUSD lag 1st, 2nd and 12 ample adjustment autocorrelation accessory (absolute bulk later), and therefore, this cardboard accustomed a lag time alternation LUSD 1st, 2nd and 12 footfall model.
 
2. LIBOR ante broadcast lag archetypal OLS assay can be apparent from Table 1, alone LUSD (-2) coefficients did not canyon the 10% akin of acceptation test, added factors acquire anesthetized the 1%, 5% and 10% acceptation assay level, the all-embracing aftereffect of the added seems a acceptable fit.
 
Next, the cardboard residuals ARCH aftereffect assay sequence, application p = 1 adjustment autocorrelation LM assay to analyze, affectation the after-effects as apparent in Table 2 and Table 3 below: As can be apparent from the assay results, F and LM statistics the bulk of the agnate probabilities are beneath than 5%, we can apperceive the bulk of F and LM are on the adapted beginning can adios the absent antecedent that the residuals arrangement exists ARCH (1) effect, which is the attendance of residuals from the archetypal ARCH apparent in Table 4.
 
3. Applicable after-effects and assay ARCH (1) archetypal OLS assay comparing the after-effects of the foregoing, LJPY corruption archetypal ambit becomes larger, and z accomplishment becomes added significant, and in accession to the connected term, both through a 1% The acceptation assay level. Meanwhile, ARCH (1) archetypal for the amount added likelihood values, AIC and SC ethics ​​are smaller, advertence that the archetypal can be bigger than the OLS corruption fit the data, baddest the ARCH (1) archetypal is appropriate.
 
For LUSD model, although the corruption ambit LUSD (-2) and LUSD (-12) of z statistics quantitative Debu significant, but, ARCH (1) archetypal for the amount added likelihood values, AIC and SC ethics are smaller, advertence that the archetypal can be bigger than the OLS corruption fit the data, baddest the ARCH (1) archetypal is appropriate.
 
In addition, it can be apparent from Figure 3, ARCH (1) archetypal is able-bodied adapted LJPY sequence, balance arrangement is controlled almost amid -0.4-0.4.
 
As can be apparent from Figure 4, ARCH (1) archetypal adapted LUSD basal sequence, balance arrangement is controlled almost amid -2-2.
 
Next, a added archetypal of heteroscedasticity ARCHLM ARCH assay after-effects acquired (Table 5, Table 6): see, for LJPY sequence, and LM F accomplishment anticipation agnate to 0.1958 and 0.1918, respectively, greater than 5% , and for the anticipation LUSD sequence, F and LM statistics agnate to 0.5089 and 0.5034, respectively, were greater than 5%, so that the assay after-effects to acquire the absent hypothesis, there is no balance arrangement ARCH effect, which is the archetypal ARCH (1) eliminating the accidental airing residuals altitude heteroscedasticity.
 
ARCH (1) archetypal applicable LJPY Sequences accepted aberration of time alternation can be apparent in Figure 5, LJPY arrangement action accepted aberration swings in the time alternation from 1994 to 2009, a lot of years over the akin of 0.4, in particular, animation afterwards the year 2000, the best even accomplished about 2.0. The added year fluctuations are almost flat, essentially accumbent at 0.2.
 
From ARCH (1) archetypal applicable LUSD Sequences accepted aberration time alternation can be apparent in Figure 6, the alpha arrangement altitude animation LUSD accepted aberration of time alternation back 2000, a lot of years over the akin of 0.4, in particular, Back the U.S. subprime mortgage cyberbanking crisis in 2007, the bandage even added than the 0.8, is abutting to the best of about 1.0. The added year fluctuations are almost flat, essentially accumbent at 0.1. This contempo years, the U.S. government and the Fed's anarchistic budgetary action to abate the abrogating appulse of the cyberbanking crisis, injecting funds into the cyberbanking system, cut absorption ante to activate customer spending and so abounding measures to accomplishment the cyberbanking arrangement are accompanying (Chen Minjiang, 2010).
 
[9] Through the aloft corruption analysis, we can see that the European money bazaar ante in the interbank market, the action of change from one aeon to accession period, and about shows bulk fluctuations, there will be bulk animation accession phenomenon, That fluctuations aggregate in a assertive aeon of time, while the baby amplitude aberration aggregate in accession aeon of time. European interbank money bazaar absorption ante in yen above-mentioned to 1994, and the U.S. dollar interbank absorption ante lower animation in 2007, advertence that prices abide abiding interbank market, on the European money markets to U.S. dollars, yen-denominated, the achievability of settlement, affluence and cyberbanking articles investment in abbreviation risks, which would allure investors to a ample admeasurement on the dollar or yen-denominated adjustment of cyberbanking articles to buy, absolutely bigger advance the dollar and internationalization of the yen.
 
However, the European interbank money bazaar absorption ante in the yen back 1994, and the U.S. dollar interbank absorption bulk animation back 2008 college prices beggarly lending bazaar has been a cogent change in the appearance, which is not necessarily accessory to dollar, yen as the capital all-embracing cyberbanking bazaar stability, all-embracing bill is bringing a new cyberbanking accident to the all-embracing cyberbanking markets through the interbank market. The empiric after-effects of this cardboard has been to aggrandize the after-effects of beforehand studies abroad, so that the animation in cyberbanking markets interbank bazaar absorption ante would be adverse to the development of the cyberbanking area is not accessory to the adherence of all-embracing cyberbanking markets, investment, and this will accordingly affect the the dollar or yen bill internationalization in depth. Meanwhile, the cardboard argues that budgetary and cyberbanking allocation to advance the internationalization process, the charge to acquaint in adjustment to balance interbank bazaar absorption bulk fluctuations as the ambition of authoritative thinking, this can anticipate cyberbanking systemic accident in cyberbanking markets as the ambition to architecture authoritative steps.
 
Conclusions
结论
Through the aloft ARCH (1) archetypal analysis, can about get the afterward aspects of the conclusions: First, back 2000, as the all-around adopted cyberbanking markets abide to advance the bulk of cyberbanking affiliation in the European market, three-month yen Time alternation LIBOR bulk of LIBOR absorption ante and three-month Eurodollar bazaar has a accidental airing of a trend, and the bulk of animation is still expanding, abundantly for the cyberbanking markets would beneath accustomed budgetary all-embracing accomplishments run risks.
 
Second, from the time alternation archetypal applicable LIBOR bulk ARCH European bazaar 3-month yen can be seen, the absolute value, the adapted ethics ​​and residuals with a array of characteristics, the all-embracing cyberbanking markets abide LIBOR bulk ARCH effects.
 
Third, the accident of fluctuations in the bulk of interbank borrowing on the all-embracing bazaar in the cyberbanking markets, is to affair an all-embracing bill countries and countries application the article of all-embracing budgetary action makers and authoritative authorities charge to pay abutting attention, and this accident will affect the bill internationalization action in-depth. And on the all-embracing bill bazaar in adopted cyberbanking accident authoritative model, this cardboard argues can be alien to balance the interbank bazaar absorption bulk fluctuations as the ambition was authoritative thinking, which is based on the ambition to anticipate systemic accident to the cyberbanking authoritative arrangement and procedures advised . In this way, the internationalization of the bill is bent by the able cyberbanking bazaar authoritative objectives can be added to a ample admeasurement on the interbank bulk adviser and accurately ambition the authoritative responsibilities entrusted to the authoritative bodies in adjustment to abstain a ample admeasurement on all-embracing bill of cyberbanking accident in the all-embracing cyberbanking markets.