汇率相关性预测的比较研究

doi:10.12094/1002-7246（2017）05-0018-14

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摘要基于外汇汇率之间满足无套利的三角关系的基本假设,本文利用统计学中两变量之和的方差公式经过变形得出了汇率之间的隐含相关系数。本文结论表明,外汇期权隐含相关系数相比于历史相关系数有着更为优越的预测能力。对组合预测的分析也发现,不同信息的组合无法在任何情况下战胜所有的单独信息预测,但在部分情况下显著优于所有的单独信息预测。

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	郑振龙
	王磊

关键词: 汇率隐含相关性预测

Abstract: On the basic assumption of the no-arbitrage triangular relationship among the related three spot foreign exchange rates, this paper uses the transition of the variance formula for the sum of variables in statistics and the quoted implied volatility prices from the OTC market to calculate the option-implied correlation between two exchange rates,in one, three, six and twelve months. Results of the comparison show that the implied correlation series predicts more precisely than both the historical correlation series and the EWMA correlation series.

Key words: Foreign Exchange Rate Implied Correlation Forecasting

JEL分类号:

F31

G11

G15

基金资助: 国家自然科学基金面上项目(项目号:71371161)、国家自然科学基金面上项目(项目号:71471155);国家自然科学基金地区项目(项目号:71261024)。

作者简介: 郑振龙(通讯作者),经济学博士,教授,厦门大学管理学院财务系,Email: zlzheng@xmu.edu.cn.王磊,经济学博士,中国农业银行金融市场部,Email: lwang.342000@163.com.

引用本文:

郑振龙, 王磊. 汇率相关性预测的比较研究[J]. 金融研究, 2017, 443(5): 18-31.
ZHENG Zhenlong, WANG Lei. A Comparative Study on the Forcasting of the Correlation between FX Rates. Journal of Financial Research, 2017, 443(5): 18-31.

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http://www.jryj.org.cn/CN/10.12094/1002-7246（2017）05-0018-14 或 http://www.jryj.org.cn/CN/Y2017/V443/I5/18

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