中文摘要：

本文选择1994年1月至2014年11月的人民币、美元、英镑、日元、欧元和港币等6种货币实际有效汇率的月度数据，首先采用AR—GARCH—t过程对收益率进行过滤，然后运用规则藤Copula函数对标准化残差序列进行建模，探讨人民币“第一次汇改”前后6种汇率之间的波动溢出效应，研究汇率之间的尾部相依和联动现象。研究发现：“第一次汇改”前后，人民币与其他5种货币实际有效汇率之间的相依结构发生了变化，且联动中的主导货币也由美元变为人民币，但仍可用同一类型的规则藤Copula结构来描述；人民币与其他货币之间都存在对称的或非对称的尾部相依，其中人民币与日元之间存在对称的负尾部相依，而与欧元之间存在负的上尾部相依。“第一次汇改”后，人民币与美元实际有效汇率之间正的尾部相依程度有所增加，且相依性最大，港币与美元之间正的尾部相依性有较大幅度的下降。此外，人民币与日元之间负的尾部相依关系也有较大幅度的下降。

英文摘要：

To analyze the volatility spillover effects, tailed dependence and comovements of the real effective exchange rates between RMB and foreign currencies, this paper firstly use the AR-GARCH-t process to filter the monthly data of the real effective exchange rates of six currencies from January 1994 to November 2014, then models the volatility of exchange rates employing the regular vine copula framework to analyze the differences of dependences before and after the first reform of RMB exchange rate. The empirical results are as follows. Firstly, the dependences of the real effective exchange rates have changed after the first reform, and RMB displays the leading effects of co-movements. However, the dependence structures can be captured by the same regular vine copula framework. Secondly, symmetric or asymmetric tailed dependences display in the real effective exchange rates between RMB and foreign currencies. There exist symmetric negative tailed dependence between RMB and Japanese Yen and negative upper tailed dependence between RMB and Euro. Thirdly, it increases for the positive tailed dependence between RMB and US dollar, while it decreases for the negative tailed dependence between Hong Kong dollar and US dollar. Furthermore, the negative tailed dependence also declines for the pair of RMB and Japanese Yen.