东南亚国家外汇期货的推出对即期汇率波动的冲击效应——基于韩国外汇市场的实证分析

一、引言 汇率作为一种基础性的经济资源和金融资产价格,已成为广泛影响世界经济和金融发展的重要因子.由其波动所带来的风险备受关注.金融衍生品的发展彻底改变了传统的金融市场,对世界经济的发展产生了深远影响.外汇期货作为第一种被推出的金融期货,会对现货市场风险产生怎样的影响,是加剧还是减少现货市场价格的波动,是理论与实务界共同关注的问题.

The Risk Effect of Introducing Foreign Exchange to Spot Market in Southeast Asian Country:Empirical Evidence from Korea Market

It is important to think of introducing foreign exchange futures that result in some extent dynamic shock in the Southeast Asian country's emerging markets.Using AR(1)-GARCH model based on the GED dis-tribution and the GARCH-VaR model,this paper tests the volatility effected by the foreign exchange futures in Korea market.The empirical studies reveal that the efficiency of information transferring is enhanced and the shock effect by volatility disturbing weakened,and what's more the ratio in VaR's is reduce...